Testing Sharpe Ratio: Luck or Skill?: Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris

Testing Sharpe ratio: luck or skill?
∗, † *, ‡ * *
Eric Benhamou , David Saltiel , Beatrice Guez , Nicolas Paris
arXiv:1905.08042v2 [q-fin.RM] 21 May 2019
Abstract
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset
management to compare and benchmark funds and asset managers. It computes the
ratio of the (excess) net return over the strategy standard deviation. However, the
elements to compute the Sharpe ratio, namely, the expected returns and the volatilities
are unknown numbers and need to be estimated statistically. This means that the
Sharpe ratio used by funds is likely to be error prone because of statistical estimation
errors. In this paper, we provide various tests to measure the quality of the Sharpe
ratios. By quality, we are aiming at measuring whether a manager was indeed lucky of
skillful. The test assesses this through the statistical significance of the Sharpe ratio.
We not only look at the traditional Sharpe ratio but also compute a modified Sharpe
insensitive to used Capital. We provide various statistical tests that can be used to
precisely quantify the fact that the Sharpe is statistically significant. We illustrate
in particular the number of trades for a given Sharpe level that provides statistical
significance as well as the impact of auto-correlation by providing reference tables that
provides the minimum required Sharpe ratio for a given time period and correlation.
We also provide for a Sharpe ratio of 0.5, 1.0, 1.5 and 2.0 the skill percentage given
the auto-correlation level.
JEL classification: C12, G11.

Keywords: Sharpe ratio, Student distribution, compounding effect on Sharpe, Wald test,
T-test, Chi square test.
Acknowledgement: The authors would like to thank Francois Bertrand for useful remarks
and comments.
∗
A.I. SQUARE CONNECT, 35 Boulevard d’Inkermann 92200 Neuilly sur Seine, France
†
LAMSADE, Universit Paris Dauphine, Place du Marchal de Lattre de Tassigny, 75016 Paris, France
‡
Universite du Littoral Cote dOpale, LISIC, France
1
1. Introduction
When an investor faces choices to invest in various funds, it is quite common for her/him
to compare their Sharpe ratio. Sharpe ratios are used to rank funds because it is a single
number that capture both performance and risk. As this eponymous ratio established by
Sharpe (1966) is simply the ratio of the (excess) net return over the strategy standard
deviation, it measures performance for a given level of volatility, which acts a proxy for
the risk of the strategy. Sharpe ratio is sometimes also called information although the
latter semantic alludes to a benchmark and the volatility is computed with respect to a
benchmark, leading to the concept of tracking error rather than standard deviation. In the
particular case of a zero percent benchmark and a zero percent risk free rate, both Sharpe
and information ratio are rigorously the same. The elements that are used in the Sharpe
ratio computation, namely, the returns and the volatilities are unknown numbers and need
to be estimated statistically. Hence, Sharpe ratio used by investors could be error prone
because of statistical estimation error. The investor face a dilemma when looking at the
Sharpe ratio of potential investment. Is the printed Sharpe ratio provided by a funds real or
just the result of chance? Obviously, the longer the period of the track, the more accurate
the Sharpe should be. Also intuitively, the higher the Sharpe, the more chance there is that
the asset manager has some real skills. The crucial question is really how to statistically
measure this intuition. More precisely, we are interested in knowing if a Sharpe ratio is
statistically significant.
1.1. Related Works

There exists a very prolific literature on Sharpe ratio as this ratio has established it-
self as a benchmark for measuring performance given risk. This literature targets mostly
discussing the pros and const of Sharpe ratio (Pilotte and Sterbenz (2006), Sharpe (1998),
Nielsen and Vassalou (2004)) leading to other performance ratios like Treynor ratio (see
Treynor and Black (1973)), but also Calmar (see Young (1991)), Sterling (see McCafferty
(2003)) or Burke ratio (see Burke (1994)). Other authors have also tried to extend Sharpe ra-
tio by providing additional constraints to the Sharpe as in Bertrand (2008), or Darolle et al.
(2012) or to use option implied volatility and skewness as in DeMiguel et al. (2013) or the
interesting approach by Challet (2017) to compute Sharpe ratio through total drawdown
duration. Last but not least, there have been also numerous empirical work on Sharpe ratio
as for the most recent ones in Giannotti and Mattarocci (2013), Anderson et al. (2014).
When it comes to understand better the Sharpe ratio, the literature is more sparse.
Among the few attempts to study the statistical property of the Sharpe ratio, Lo (2002) is
2
often quoted as the founding reference. Using standard asymptotic theory under several sets
of assumptions (independent normally distributed - and identically distributed returns), it
provides the asymptotic distribution of the Sharpe ratio. This is interesting as it provides
intuition of potential bias and correction to apply to get an unbiased estimator. Mertens
(2002) and later Christie (2005) derived the asymptotic distribution of the Sharpe ratio
under relaxed assumptions of stationarity and ergodicity. J.D.Opdyke (2007) interestingly
showed that the derivation provided by Christie (2005) under the non-IID returns condition
was in fact identical to the one provided by Mertens (2002). Liu et al. (2012) and Qi et al.
(2018) improved approximation accuracy to order O(n−3/2 ) . Schmid and Schmidt (2009)
derives explicit formulas for the estimation error of Sharpes ratio for general correlation
structures of the excess returns. Unhapipat et al. (2016) tackled the statistical inferences
on the Sharpe ratio based on small samples while the works of Ledoit and Wolf (2008),
Christie (2005), Schmid and Schmidt (2009), Jobson and Korkie (1981), J.D.Opdyke (2007)
extend the Sharpe ratio analysis to the case of two investment strategies comparison. Pav
(2015a,b, 2016) created standard packages in R to be able to perform various tests about
the Sharpe as well as presented the connection of the Sharpe to the Student distribution.
Lately, Riondato (2018) provided a nice overview of most of these methods while Benhamou
(2018) gave various computations for the Sharpe ratio and its tight connection to the Student
distribution.
1.2. Contributions
The main contributions of this paper are the following:
• surveying and discussing impact of time aggregation as Sharpe ratio are presented on
annual basis but computed on either daily or monthly data
• surveying and presenting Sharpe ratio distributions and their corresponding statistical
test
• providing various tables for Sharpe ratio significance
• last but not least, providing some hint about the number of trades required for having
Sharpe ratio statistical significance given auto correlation.
3
2. Definition
2.1. Standard definition
In this section, we present the traditional definition of the Sharpe ratio. The Sharpe
ratio is simply defined as the ratio of expected excess return (E[R] − Rf ) over the risk free
rate Rf to its standard deviation, σ:
E[R] − Rf
SR = (1)
σ
In equation (1), under the assumptions that returns are i.i.d., it is easy to see that the
√ √
Sharpe ratio is simply the t-statistic divided by n. Equally, nSR follows a centered or not
Student distribution under the explicit assumption that the returns are normally distributed
according to a normal distribution with mean E[R], variance σ 2 and are i.i.d. Because E[R]
and σ are unobservable, they are estimated using historical data as the population moments
of the returns’ distribution. Hence, given historical returns (R1 , R2 , ..., Rn ), the standard
estimator for the Sharpe ratio (SR) is given by
ˆ−R
R̄ f
SR = (2)
σ̂
where Pn
ˆ= i=1 Ri
R̄ (3)
n
v
uP
ˆ 2
s
u n R − R̄ Pn 2 ˆ2)
t i=1 i − R̄
i=1 (Ri
σ̂ = or equivalently σ̂ = (4)
n−1 n−1
Pre-computing R̄ ˆ avoids a double summation in the definition of the volatility estimator.

The n − 1 divisor is for the estimator to be unbiased. Hence, the formula for SR in terms of
the individual returns (Ri )i=1..n is given by:
√ P
n − 1 ni=1 (Ri − Rf )
SR = r (5)
Pn ˆ
2
n i=1 R i − R̄
As the non centered Student statistics writes as
ˆ−R
R̄ √
f
t= √ = nSR
σ̂/ n
4
√
It is straightforward to see that nSR follows a non-central t-distribution with degree of
freedom n − 1. The non-centrality parameter η is given by
√ E[R] − Rf
η= n (6)
σ̂
This result has been first mentioned in Miller and Gehr (1978), largely then emphasized
in Pav (2016), Riondato (2018) and Benhamou (2018). Accurate estimation of the corre-
sponding bias and variance are detailed in the case of non iid returns in Bao and Ullah (2006)
and Bao (2009).
2.2. Capital dimensionless Sharpe ratios

One of the main drawback of the traditional Sharpe ratio definition is the dependence
on returns. This dependence on returns means consequently for an established track record
that we are sensitive to the allocated capital as it defined the corresponding returns. If we
want to have a definition that does not depend on our used capital, we can compute the
Sharpe ratio not any more on returns but on the generated PnL of our track record.
Definition 2.1. Let us denote daily (resp. monthly) PnL: (Pid )i=1,..,N d (resp. (Pim )i=1,..,N m )
with N d (resp. N m ) the number of daily (resp. monthly) trades.
d
The ’annualized’ daily capital dimensionless Sharpe ratio SRcd is defined on daily PnL num-
bers (Pid):
PN d d
√ i=1 Pi
d Nd
SRcd = 252 r
PN d d ¯d 2
i=1 (Pi −P )
N d −1
PN d d √
¯d
where P = i=1 d
Pi
is the average daily PnL. The 252 factor is justified in the next section
N
by the square root rule of thumb. for monthly periods, the ’annualized’ monthly capital
m
dimensionless Sharpe ratio SRcd is defined on monthly PnL numbers (Pim ):
PN m m
√ i=1 Pi
m Nm
SRcd = 12 q PN m
i=1 (Pim −P¯m )2
N m −1
PN m m √
i=1 Pi
where P¯m = Nm
is the average monthly PnL. Likewise, the 12 factor is justified in the
next section.
5
3. Time and Trade aggregation
3.1. Square root rule of thumb
Before reviewing distributions for Sharpe ratio, it is critical to discuss an important
practical aspect of the Sharpe ratio: the Sharpe ratio is not independent from the time period
T over which excess returns (Ri )i=1,...,n are computed (see Lo (2002), or Riondato (2018)).
More specifically, a Sharpe ratio computed over monthly returns cannot be compared directly
with a Sharpe ratio computed over yearly return. The rule of thumb that is commonly used
to multiply a τ period Sharpe ratio by the square root of the number of period in a year is
inaccurate and misleading. This rule of thumb for instance gives that to infer the annual
√
Sharpe ratio from daily return, one should multiply the daily Sharpe by 252 assuming 252
√
data points per year, and by 12 for monthly Sharpe. When returns are not observed every
day (case of intraday fund that do not necessarily trade every day), this rule of thumb can
be extended as follows. Assume that the Sharpe ratio is computed over a fraction of year yf
p
and that for this period we have d returns. The rescaling factor should be d/yf This more
precisely practical rule allows to adjust for specific trading calendar that do not necessarily
have 252 trading days per year.
As explained in Lo (2002), or Riondato (2018), this rule of thumb takes its logic and
justification from i.i.d assumptions. Let us denote by Rt (q) the q period return:
Rt (q) ≡ Rt + Rt−1 + . . . + Rt−q+1 (7)
where in our definition, we have ignored the effects of compounding for computational effi-
ciency1 . We have that under the assumption of i.i.d. returns whose distribution is given by
R1 , for a period of length T = kq,
T
!
X
Var(RT ) = Var Ri = kqVar(R1 )
i=1
while !
q
X
Var(Rt (q)) = Var Rt+1−i = qVar(R1 )
i=1
1
Qq−1
Of course, the exact expression for compounding returns is Rt (q) ≡ i=0 (1 + Rt−j ) − 1. But the sake
of clarity, we can ignore the compounding effect in our section as this will be second order effect. Equally,
we could use log or continuously compounded returns defined as log(Pt /Pt−1 ) in which case, our definition
would be exact
6
which justifies the rule of thumb
p √
Var(RT ) = qVar(Rt (q)) (8)
The latter rule hence states that

√ √
SRAnnual = 12 SRM onthly = 252 SRDaily (9)
However, in the presence of auto correlation, this rule of thumb is wrong and has been
explicitly emphasized in Lo (2002). This is the subject of the following section
3.2. AR(1) assumptions

The i.i.d. normal assumption for the return is far from being verified in practice. A more
realistic set-up is to assume that the returns follow an AR(1) process defined as follows:
(
Rt = µ + ǫt t ≥ 1;
(10)
ǫt = ρǫt−1 + σvt t ≥ 2;
where vt is an independent white noise processes (i.i.d. variables with zero mean and
unit constant variance). To assume a stationary process, we impose
|ρ| ≤ 1 (11)
It is easy to check that equation 10 is equivalent to
Rt = µ + ρ(Rt−1 − µ) + σvt t ≥ 2; (12)
We can also easily check that the variance and covariance of the returns are given by
σ2
V (Rt ) = 1−ρ2
for t ≥ 1
σ2 ρ|t−u|
(13)
Cov(Rt , Ru ) = 1−ρ2
for t, u ≥ 1
Both expressions in 13 are independent of time t and the covariance only depends on
|t − u| implying that Rt is a stationary process. If we now look at the empirical SR under
these assumptions, it should converge to
E[Rt ] − Rf µ − Rf
p = q (14)
var(Rt ) σ2
2 1−ρ
7
3.2.1. Impact of sub-sampling
The impact of sub-sampling is considerable for Sharpe ratio as stated by the following
proposition.
Proposition 1. The ratio between the q period returns SR(q) defined by
E[Rt (q)] − Rf
SR(q) = p (15)
V ar[Rt (q)]
and the annual (regular) SR is the following:
SR(q) qσ∞
= qP (16)
SR q−1 2
Pq−1 Pq−1−k
i=0 σt−i +2 k=1 i=0 ρt−i,t−i−k σt−i σt−i−k
If the return process is stationary with a constant variance σ 2 = V ar[Rt ] = σ∞

2
and stationary
correlation denoted by ρv−u = Corr(Ru , Rv ), this relationship simplifies to
r
SR(q) q
= Pq−1 (17)
SR 1+2 k=1 (q − k)ρk
If in addition, the returns follow an AR(1) process ρk = ρk , equation 17 becomes

s
SR(q) q
= (18)
SR 2ρ
1 + 1−ρ 1− 1−ρq
q(1−ρ)
r
2ρ 1−ρq
Denoting δ = 1+ 1−ρ
1− q(1−ρ)
, we have that:
√
SR(q) q
= (19)
SR δ
If the returns are non correlated (ρk = 0), equation 19 becomes
SR(q) √
= q (20)
SR
The last equation is the so called square root rule that states that the annual Sharpe is equal
√
to 12 the monthly Sharpe.
Proof. Given in 8.1
Remark 3.1. Combining equations (17) and (20), we obtain that there is a relationship
8
√
between the real Sharpe SR(q) and the so called square root Sharpe SRSquareRoot = qSR:
√
qSR SRSquareRoot
SR(q) = = (21)
δ δ
Hence, if δ is larger than one, the real Sharpe is underestimated by the square root rule. We
obtain a major result summarized by the proposition below
Proposition 2. If first order correlation ρ is positive, the real Sharpe is underestimated by

the square root rule. If first order correlation ρ is negative, the real Sharpe is overestimated
by the square root rule.
Remark 3.2. The role of auto correlation in Sharpe computation has first been found by Lo
(2002).
4. Distributions for Sharpe ratio

In practice, returns are not i.i.d. and suffer from auto-correlation and heteroscedasticity.
Adapting the result of the previous section and inspired by Ledoit and Wolf (2008), we can
compute the Studentized Sharpe ratio as explained by the proposition below
Proposition 3. Student Distribution - For returns that are i.i.d. and normally dis-
tributed, we have that
√
n SR (22)
follows a Student distribution. In the more general (and realistic) case (as described in
Benhamou (2018)), where returns follow an AR(1) process with first order auto-correlation
denoted by ρ, and computing the Sharpe ratio on a period frequency with q data points per
year, the studentized Sharpe ratio given by
s
√ 2ρ 1 − ρq
n SR 1+ 1− (23)
1−ρ q(1 − ρ)
| {z }
=δ
follows a Student distribution with degree of freedom n−1 and non centrality parameter given
by
√
n SR δ (24)
Proof. See appendix section 8.2
9
Remark 4.1. Proposition 3 provides a nice and intuitive test for the significance of the
Sharpe ratio. However, one need for the Student correction to compute the first order auto-
correlation ρ which can be tricky on data. A good recipe to infer auto correlation from data
is to average the computation over the first order auto-correlation inferred from the lag one,
two and three time series as follows. First compute for the time serie (Rt )t=1,...,n the first
order auto-correlation with the lag one time serie Rt−1 :
Cov(Rt , Rt−1 )
ρ1 = (25)
(Var(Rt ) + Var(Rt−1 )) /2
Compute the first order auto-correlation with the lag two time serie Rt−2 :
1/2
|Cov(Rt , Rt−2 )|+
ρ2 = (26)
(Var(Rt ) + Var(Rt−2 )) /2
where in equation (26), we have force that the numerator is positive thanks to the positive
value |x|+ = max(0, x) in order for the square root to be real. We can also compute the first
order auto-correlation with the lag three time serie Rt−3 as follows:
1/3
Cov(Rt , Rt−2 )
ρ3 = (27)
(Var(Rt ) + Var(Rt−2 )) /2
In all these expressions, the denominator term representing the variance of the time series
is symmetrized to make formulae more robust. Finally, we compute the true first order auto-
correlation as the average of ρ1 , ρ2 , ρ3
ρ1 + ρ2 + ρ3
ρ=
3
Proposition 4. Fisher and Beta Distributions - A straight consequence of proposition

3 is that the
• the Studentized F-statistic

n SR2 δ 2
follows a FisherSnedecor distribution with parameters d1 = 1 and d2 = n − 1. This

allows to convert the Student test to a Fisher test
• the Studentized Beta-statistic
1
1 + SR2 δ 2
follows a Beta distribution with parameters d1 = (n − 1)/2 and d2 = 1/2. This allows
to convert the Student test to a Beta test
10
Proposition 5. Wald Statistic - The asymptotic distribution of the Fisher distribution

is the Chi Square distribution with one degree of freedom. If we make the test directly on
the non Studentized F-statistic n SR2 , it converges for n large to the square of the standard
normal distribution N (0, 1). This allows to convert the Student (Fisher and Beta) test to
the Wald test. These two tests are asymptotically equivalent.
Proposition 6. Wald Statistic 2 - If we apply the same reasoning but to the Studentized
F-statistic n SR2 δ 2 converges for n large to the square of the standard normal distribution
N (0, 1). This allows to convert the Student (Fisher and Beta) test to the Wald test. These
two tests are asymptotically equivalent.
Proposition 7. Modified Asymptotic Distribution - A better approximation for the

asymptotic distribution of the Fisher one is to compute the following statistic
1
√ SR δ(1 − 4(n−1) )
n q → N(0, 1) (28)
SR2 δ2
1 + 2(1−1/n)
Remark 4.2. It is worth noticing that SR = O( √1n ) as n → ∞, which explains that the
result is asymptotically equivalent to proposition 6 .
5. Statistical Tests
In this section, leveraging distributions provided in section 4, we provide the correspond-
ing statistical tests. These tests provide a statistical answer whether a manager has some
real skill or just is lucky. For all these tests, we have the same null hypothesis.
Definition 5.1. General null hypothesis - The test null hypothesis H0 is that the obtained
empirical Sharpe ratio is of zero mean. In mathematical terms, it says E[SR] = 0 If we fail
to reject the null hypothesis, we conclude that the Sharpe ratio is not statically significant.
Conversely, if we reject the null hypothesis, we conclude that the Sharpe ratio is statically
significant. At this stage, we have two ways to do the test. We can do a one-tailed or a
two-tailed test.
11
Definition 5.2. One-tailed test - In one-tailed test, the null hypothesis is:
H0 : E[SR] = 0 versus H1 : E[SR] > 0,
ˆ is greater than
For a significance level α (typically α = 5%), we reject H0 if the statistic SR
the 1 − α quantile of the distribution of the Sharpe ratio. For a given observed value s of our
Sharpe ratio, the p-value is defined as P (SR > s |H0 ).
Definition 5.3. Two-tailed test - In two-tailed test, the null hypothesis is:
H0 : E[SR] = 0 versus H1 : E[SR] 6= 0,
Two-tailed test requires also that under null hypothesis, the distribution of the Sharpe ratio is
ˆ is
symmetric. For a significance level α (typically α = 5%), we reject H0 if the statistic |SR|
greater than the 1 − α/2 quantile of the distribution of the Sharpe ratio. For a given observed
value s > 0 of our Sharpe ratio, the p-value is defined as P (|SR| > s |H0) = 2P (SR > s |H0).
Definition 5.4. Skill and Luck percentage - Given a statistic SR and its observed value
s, we define the luck percentage P(L) as the p-value under the null hypothesis and the skill
percentage P(S) as the complementary probability P(S) = 1 − P(L). For the one-tailed test,
this boils down to
P(L) = P(SR > s |H0) = 1 − P(SR < s |H0), P(S) = P(SR < s |H0)
while for two-tailed test requiring a symmetric statistic, and s > 0 this boils down to
P(L) = P(|SR| > s |H0) = 2 (1 − P(SR < s |H0 )) , P(S) = 2P(SR < s |H0) − 1
Remark 5.1. The difference between one and two-tailed test is subtle. In two-tailed test
(which is the most common statistical test), we do not make any hypothesis on the sign of
the Sharpe ratio. Hence the p-value under the null hypothesis adds on purpose both the right
and left cumulative part of the distribution below and above the observed realization of the
statistic. To reject the null hypothesis, we compare the p-value with a confidence level α.
If the p-value is above the confidence level α, we reject the null hypothesis. As the p-value
in two-tailed test is greater than in one-tailed test (for the same distribution assumptions),
two-tailed test leads to reject the null hypothesis more often. Conversely, we fail to accept
the null hypothesis less often in two-tailed tests than one-tailed ones. This can be seen as a
paradox at first sight, as the two-tailed test implicitly ensures that when we reject the null
hypothesis, we can only conclude that the Sharpe ratio has a non null mean (the opposite of
12
the null hypothesis). This does not confirm that the mean is positive. At the opposite, for
the one-tailed test when we reject the null hypothesis, we explicitly conclude that the mean of
the Sharpe ratio is positive. But we have to pay attention that this type of test requires the
mean of the Sharpe to be non negative. So we reject more often (than the two-tailed test) the
hypothesis that the Sharpe ratio has a zero mean but, paradoxically, we already know that the
mean cannot be negative, which is a huge bias in our analysis of the Sharpe ratio.
Remark 5.2. There are multiple choices for the distribution of the Sharpe. If we take the
real distribution of the Sharpe, under certains assumptions, we can prove that it is a Student
distribution. This distribution leads to a Student test that can be one or two-tailed. If we
2
look at the Fisher statistic given by N δ 2 sF it is necessarily a two-tailed test. The same
applies for the Wald test as it takes the asymptotic distribution of the Fisher one, that is a
chi-squared distribution. For implementation purposes, we can take the square root of the
Wald statistic that is then a Gaussian but with the restriction that a one-tailed test does not
make sense. Hence like for Fisher, only two-tailed tests are permitted.
Remark 5.3. Last but not least, if we wanted to have a null hypothesis of the form
H0 : E[SR] > µ0 with µ0 > 0
we would need to add an explicit assumption on the distribution of the first moment of the
Sharpe ratio. This would require to make a prior assumption on the parameters of the Sharpe
ratio’s distribution, leading us to do Bayesian statistics. We leave this for further study as
one needs some good assumptions on the prior, which is not an obvious choice.
Proposition 8. Student Test - In the Student test, for N = Nd daily trades (resp. N =
N m monthly trades) corresponding to an annual factor F = 252 (resp. F = 12), the p-value
is computed for one-tailed test as:

cdf
√ s
P(L) = P(SR > s |H0) = 1 − T N δ √
F
for two-tailed test as:

cdf
√ s
P(L) = P(|SR| > s |H0) = 2 − 2 T N δ √
F
where T cdf is the Student cumulated density function with N − 1 degree of freedom. For
a level of confidence C, the corresponding annualized Sharpe is given for daily calculations
13
(resp. monthly calculations) for one-tailed test by:
√ √
252 12 inv m
√ T inv (N d − 1, C) resp. √ T (N − 1, C) (29)
δ Nd δ Nm
and for two-tailed test by:

√ √
252 1+C 12 inv m 1+C
√ T inv (N d − 1, ) resp. √ T (N − 1, ) (30)
δ Nd 2 δ Nm 2
where T inv (n − 1, x) is the inverse of the cumulated density function of a student distribution
with degree of freedom n − 1 for a cumulated probability 0 ≤ x ≤ 1.
Proof. Immediate using previous results.
Proposition 9. Fisher Tests - In the Fisher test, the p-value is computed as follows:

cdf 2s2
P(L) = P(SR > s |H0) = 1 − F N δ
F
where F cdf is the Fisher cumulated density function with 1, N − 1 parameters.
Proof. Immediate using previous results.
Proposition 10. Wald Test - In the Wald test, the p-value is computed with a two-tailed
test and is given by:
√ !
N
P(L) = 1 − P(|SR| < s |H0) = 2 − 2 N cdf s √
F
where N cdf is the normal cumulated density function for the standard normal distribution
N (0, 1). Hence for a level of confidence C, the corresponding annualized Sharpe for daily
calculations (resp. monthly calculations) is given by
√ √
252 inv 1 + C 12 inv 1 + C
√ N resp. √ N (31)
Nd 2 Nm 2
where N inv (x) is the inverse of the cumulated density function of a standard normal N (0, 1)
R N inv (x)
for a cumulated probability 0 ≤ x ≤ 1 : ∞ N(0, 1)du = x.
14
Proposition 11. Other Wald Test - Another form of the Wald test is to apply the Stu-
dentized version of our Sharpe ratio as follows:
√ !
Nδ
P(L) = 1 − P(|SR| < s |H0 ) = 2 − 2 N cdf s √
F
where N cdf is the normal cumulated density function for the standard normal distribution.
Hence for a level of confidence C, the corresponding annualized Sharpe is given by
√ √
252 inv 1 + C 12 inv 1+C
√ N resp. √ N (32)
δ Nd 2 δ Nm 2
Proposition 12. Other Wald Test 2 - Another form of the Wald test is to use proposition
7 and correct the statistics so that
 √ 
1
Nδ 1 − 4(N −1)
P(L) = 1 − P(|SR| < s |H0 ) = 2 − 2 N cdf s √ q  (33)
F s2 δ 2
1 + 2(1−1/N )
where N cdf is the normal cumulated density function for the standard normal distribution.
Hence for a level of confidence L, the corresponding annualized Sharpe is given by
√
F 1 inv 1+C
√ r N (34)
δ N 1
2
F (N inv ( 1+C
2 ))
2 2
1− 4(N −1)
− N 2(1−1/N )
6. Statistical Tables
In this section, we provide various statistical tables to test the significance of a Sharpe
ratio.
6.1. Color codes

When providing a sharpe ratio, we have used color codes to identify quickly sharpe ratio
values and probabilities. The various thresholds for Sharpe ratios, summarized by table 1, are
not chosen randomly. They corresponds to 0.50, 1.00, 1.50 and 2.00 as these levels of Sharpe
ratios are within the range of low to medium frequency funds. For the skill probabilities,
summarized in table 2, we have used the following thresholds: 80%, 90%, 95%, 97.5% and
99% as they are also meaningful from a statistical point of view. 90%, 95% and 97.5% are
typically what is considered to be ”closed” to certitude from a statistical point of view taking
15
into natural noise in data.
Table 1: Color code for Sharpe ratio Table 2: Color code for skill probability
SR > 2.00 00% ≤ P(.) < 80%
2.00 ≥ SR > 1.50 80% ≤ P(.) < 90%

1.50 ≥ SR > 1.00 90% ≤ P(.) < 95%
1.00 ≥ SR > 0.50 95% ≤ P(.) < 97.5%
0.50 ≥ SR 97.5% ≤ P(.) < 99%

99% ≤ P(.)
6.2. Sharpe for 90% skill target

6.2.1. Wald assumptions
Tables 3 and 4 provide the minimum Sharpe level for a 90% skill percentage, under
various auto-correlation assumptions. Table 3 shows the results for daily periods while table
4 gives the same information but for monthly periods. Tables 3 and 4 compute the skill
percentage using the Wald test, hence assuming that
√
Nδ
SR √ ∼ N (0, 1)
F
with a two-tailed test method. Let us explain what table 3’s numbers mean by taking various
examples. To ensure a 90% skill percentage, we need for 150 daily periods a Sharpe ratio at
least equal to 2.9 for a correlation of −30% and only to 1.57 for a correlation of +30%. If
we double the daily period (300 daily periods), we need a Sharpe ratio at least equal to 2.05
for a correlation of −30% and only to 1.11 for a correlation of +30%. Notice that Sharpe
√
decreases in square root of time N . Hence to reduced the required Sharpe ratio by two,
we need a daily period 4 times longer. This is confirmed by the minimum Sharpe ratio, for
a period of 600 daily periods, which is equal to 1.45 for a correlation of −30% and only to
0.78 for a correlation of +30%. Last but not least, we see that the more auto correlation,
the lower the required Sharpe ratio.
Table 4 provides similar results that are very comparable to daily computations. For
instance, a two year period would corresponds to 24 months and roughly 500 daily observa-
tions (rigorously, 2 × 252). Hence for 24 months, to ensure a 90% skill percentage, we need
16
a Sharpe ratio at least equal to 1.54 for a correlation of −30%, 1.16 for a zero correlation
and to 0.88 for a correlation of +30%. This is comparable to a minimum Sharpe ratio at
least equal to 1.59 for a correlation of −30%, 1.17 for a zero correlation and to 0.86 for
a correlation of +30% for 500 daily periods. There is however a slight difference between
monthly and daily periods. To account for a daily period, we need on a given day at least
one trade. Likewise, to account for a month, we need on a given month at least one trade.
When looking at intra-day strategies, there is no guarantee that there are trades on a given
day if we do not use a large number of different strategies while there is little chance that
we skip a month.
6.2.2. Student assumptions
percentage using the Student test, hence assuming that
√
Nδ
SR √ ∼ T (N − 1)
F
with a one-tailed test method.

The skill percentages for two-tailed method are expressed in tables 7 and 8 for daily and
monthly periods. It is worth mentioning that there are large differences between one and
two-tailed tests. For instance, to ensure a 90% skill percentage for a one-tailed test (table 5)
and 500 daily periods, we need a Sharpe ratio at least equal to 1.24 for a correlation of −30%,
0.91 for a zero correlation and to 0.67 for a correlation of +30%, which are comparable to
the numbers for the same correlation levels but for 800 daily periods (1.26 for a correlation
of −30%, 0.92 for a zero correlation and to 0.68 for a correlation of +30%, see table 7). From
a practical point of view, we need almost twice as much time to ensure the same skill level
between one and two-tailed tests!
6.3. 95% skill target

17
percentage using the Wald test, hence assuming that
√
Nδ
SR √ ∼ N (0, 1)
F
with a two-tailed test method.
6.3.2. Student assumptions
various auto-correlation assumptions. Table 11 shows the results for daily periods while
table 12 gives the same information but for monthly periods. Tables 11 and 12 compute the
skill percentage using the Student test, hence assuming that
√
Nδ
SR √ ∼ T (N − 1)
F
with a one-tailed test method.

The skill percentages for two-tailed method are expressed in tables 13 and 14 for daily and
monthly periods. Again to make sure these tables are easy to understand, let us take some
examples. Table 5 says that we need a Sharpe ratio at least equal to 1.50 for a correlation
of −30%, 1.13 for a zero correlation and to 0.85 for a correlation of +30% for a period of
three years (36 months). Same comments apply as before. Required Sharpe ratio decreases
in square root of time. And the larger the auto correlation, the lower the required Sharpe
ratio.
6.4. Sharpe ratio significance level

In this part, we provide the minimum Sharpe ratio level to achieve a confidence level
measured by the percentage of skill assuming zero correlation. Tables 15 and 16 assume
Wald test distribution (the normality of the Sharpe ratio). Table 15 looks at daily periods
while table 16 at monthly periods for the one-tailed test. Tables 17 and 18 assume Student
one-tailed test distribution. Table 17 looks at daily periods while table 18 at monthly periods
for the one-tailed test. Tables 19 and 20 assume Student two-tailed test distribution. Table
19 looks at daily periods while table 20 at monthly periods for the one-tailed test.
Remark 6.1. Tables 7 and 11 are rigorously the same. A two-tailed Student test is equal
to the one-tailed Student test whenever equations (29) and (30) are equal. Denoting by
18
C1 = 90%, and C2 = 95%, the two-tailed test computes
√
252 1 + C1
√ T inv (N d − 1, )
δ N d 2
while the one-tailed test uses √

252
√ T inv (N d − 1, C2)
δ Nd
This explains why the two daily tables are the same. The same applies for table 8 and 12 .
6.5. Percentage of skill for a given level of Sharpe ratio

In this section, we provide the percentage of skill for a given level of Sharpe ratio using
the formulae under the Wald assumptions (two-tailed test)

cdf
√ SR
P(S) = P(T < |t|) = 2N N δ √ −1
F
and under the Student assumptions with one-tailed test:

cdf
√ SR
P(S) = P(T < t) = T N δ √
F
and under the Student assumptions with two-tailed test:

cdf
√ SR
P(S) = P(T < |t|) = 2T N δ √ −1
F
6.5.1. Sharpe ratio of 0.5
Tables 21 and 22 assume Wald test distribution (the normality of the Sharpe ratio). Table
21 looks at daily periods while table 22 at monthly periods for the one-tailed test. Tables
23 and 24 assume Student one-tailed test distribution. Table 23 looks at daily periods while
table 24 at monthly periods for the one-tailed test. Tables 25 and 26 assume Student two-
tailed test distribution. Table 25 looks at daily periods while table 26 at monthly periods
for the one-tailed test.
6.5.2. Sharpe ratio of 1
19
tailed test distribution. Table 31 look at daily periods while table 32 at monthly periods for
the one-tailed test.
Tables 33 and 34 assume Wald test distribution (the normality of the Sharpe ratio).
Table 33 look at daily periods while table 34 at monthly periods for the one-tailed test.
Tables 35 and 36 assume Student one-tailed test distribution. Table 35 look at daily periods
while table 36 at monthly periods for the one-tailed test. Tables 37 and 38 assume Student
two-tailed test distribution. Table 37 look at daily periods while table 38 at monthly periods
6.5.4. Sharpe ratio of 2
tailed test distribution. Table 43 looks at daily periods while table 44 at monthly periods
7. Conclusion
In this paper, we have provided the framework for validating the significance of a histor-
ically realized Sharpe with respect to statistical test. This allows us to define the percentage
of skill and luck of a manager. This allows answering the question whether a manager was
indeed lucky and its generated Sharpe is statistically significant or not. We provide statisti-
cal tables that provides guidelines in terms of statistical significance of a Sharpe ratio given
correlation and number of observation.
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8. Appendix
8.1. Proof of proposition 1
The denominator of the Sharpe can be computed as follows:
q−1 q−1
X X
V ar[Rt (q)] = Cov(Rt−i , Rt−j ) (35)
i=0 j=0
q−1 q−1 q−1
X X X
= V ar(Rt−i ) + 2 Cov(Rt−i , Rt−j ) (36)
i=0 i=0 j=i+1
Using the change of variable, k = j − i, denoting by ρu,v = Corr(Ru , Rv ) and by σu2 =

Var(V ar(Ru ), we get the following expression:
q−1 q−1 q−1−k

X X X
2
V ar[Rt (q)] = σt−i +2 ρt−i,t−i−k σt−i σt−i−k (37)
i=0 k=1 i=0
Computed the fraction SR(q)

SR
leads to the result of equation 16. This is the most general
formula that extends the one of Lo (2002).
If the return process is stationary with a constant variance, then
• σu does not depend on u and can be denoted by σ,

• ρu,v only depends on the absolute difference between u and v and is written for v ≥ u
as ρv−u
Then equation 37 becomes
q−1
!
X
2
V ar[Rt (q)] = σ q+2 (q − k)ρk (38)
k=1
SR(q)
Again, computing the fraction SR
leads to the result of equation 17.
k
For AR(1) process, we have ρk = ρ and equation 38 becomes

2 2ρ 1 − ρq
V ar[Rt (q)] = σ q+ 1− (39)
1−ρ q(1 − ρ)
1−ρq
Pq−2 k 1−ρq−1 Pq−1 k−1 −qρq−1
where we have used k=0 ρ = 1−ρ
and k=0 kρ = 1−ρ
(1−ρ)
. Equation 20 is
immediate.
23
The result is trivial for i.i.d. returns. For the case of AR(1) assumptions, we can apply
previously results and correct by the auto correlation effect

The result is trivial as if
• If X has a Student’s t-distribution with degree of freedom ν then Y = X 2 has an

F-distribution: Y ∼ F (ν1 = 1, ν2 = ν)
ν
• If X has a Student’s t-distribution with degree of freedom ν then Z = ν+X 2
has a

beta-distribution Z ∼ B ν2 , 12

Using the fact that the Fisher distribution limn→∞ F (1, n) = N (0, 1), we have that
n SR2 δ 2 converges to a normal distribution. Hence, the Student and Fisher tests are asymp-
totically equivalent to the Wald test.

When n tends to infinity, the t-distribution denoted by t tends to a normal distribution
denoted by N(0, σ) whose variance is given by the variance of the Student distribution.
Using the result of Walck (2007), we conclude with
1
t(1 − 4(n−1) )
q → N(0, 1) (40)
t2
1 + 2(n−1)

Immediate using previous results noticing that this is a two-tailed test and that inverting
the relationship
P(S) = P(T < |t|) = 2P(T < t) − 1
implies
−1 1 + P(S)
t = CDF
2
24
9. Statistical Tables
9.1. Sharpe for 90% skill target
Table 3: Sharpe level for 90% targeted skill using Wald two-tailed test for daily periods
under various auto-correlation assumptions
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 22.35 15.80 11.17 9.12 7.90 7.07 6.45 5.97 5.59 5.27 5.00 4.76 4.56 4.38 4.22 4.08 3.95 3.83 3.72 3.63 3.53
-80% 15.53 10.98 7.77 6.34 5.49 4.91 4.48 4.15 3.88 3.66 3.47 3.31 3.17 3.05 2.93 2.84 2.75 2.66 2.59 2.52 2.46
-70% 12.36 8.74 6.18 5.05 4.37 3.91 3.57 3.30 3.09 2.91 2.76 2.64 2.52 2.42 2.34 2.26 2.19 2.12 2.06 2.01 1.95
-60% 10.41 7.36 5.20 4.25 3.68 3.29 3.00 2.78 2.60 2.45 2.33 2.22 2.12 2.04 1.97 1.90 1.84 1.78 1.73 1.69 1.65
-50% 9.02 6.38 4.51 3.68 3.19 2.85 2.60 2.41 2.26 2.13 2.02 1.92 1.84 1.77 1.70 1.65 1.59 1.55 1.50 1.46 1.43
-40% 7.96 5.63 3.98 3.25 2.82 2.52 2.30 2.13 1.99 1.88 1.78 1.70 1.63 1.56 1.50 1.45 1.41 1.37 1.33 1.29 1.26
-30% 7.11 5.03 3.55 2.90 2.51 2.25 2.05 1.90 1.78 1.68 1.59 1.52 1.45 1.39 1.34 1.30 1.26 1.22 1.18 1.15 1.12
-20% 6.39 4.52 3.20 2.61 2.26 2.02 1.84 1.71 1.60 1.51 1.43 1.36 1.30 1.25 1.21 1.17 1.13 1.10 1.07 1.04 1.01
-10% 5.77 4.08 2.89 2.36 2.04 1.82 1.67 1.54 1.44 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.94 0.91
0% 5.22 3.69 2.61 2.13 1.85 1.65 1.51 1.40 1.31 1.23 1.17 1.11 1.07 1.02 0.99 0.95 0.92 0.90 0.87 0.85 0.83
10% 4.73 3.34 2.36 1.93 1.67 1.49 1.36 1.26 1.18 1.11 1.06 1.01 0.96 0.93 0.89 0.86 0.84 0.81 0.79 0.77 0.75
20% 4.27 3.02 2.13 1.74 1.51 1.35 1.23 1.14 1.07 1.01 0.95 0.91 0.87 0.84 0.81 0.78 0.75 0.73 0.71 0.69 0.67
30% 3.84 2.71 1.92 1.57 1.36 1.21 1.11 1.03 0.96 0.90 0.86 0.82 0.78 0.75 0.73 0.70 0.68 0.66 0.64 0.62 0.61
40% 3.43 2.42 1.71 1.40 1.21 1.08 0.99 0.92 0.86 0.81 0.77 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.56 0.54
50% 3.02 2.14 1.51 1.23 1.07 0.96 0.87 0.81 0.76 0.71 0.68 0.64 0.62 0.59 0.57 0.55 0.53 0.52 0.50 0.49 0.48
60% 2.62 1.85 1.31 1.07 0.93 0.83 0.76 0.70 0.66 0.62 0.59 0.56 0.53 0.51 0.50 0.48 0.46 0.45 0.44 0.43 0.41
70% 2.21 1.56 1.10 0.90 0.78 0.70 0.64 0.59 0.55 0.52 0.49 0.47 0.45 0.43 0.42 0.40 0.39 0.38 0.37 0.36 0.35
80% 1.76 1.24 0.88 0.72 0.62 0.56 0.51 0.47 0.44 0.41 0.39 0.37 0.36 0.34 0.33 0.32 0.31 0.30 0.29 0.28 0.28
90% 1.22 0.86 0.61 0.50 0.43 0.39 0.35 0.33 0.31 0.29 0.27 0.26 0.25 0.24 0.23 0.22 0.22 0.21 0.20 0.20 0.19
25
Table 4: Sharpe level for 90% targeted skill using Wald two-tailed test for monthly periods
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 8.10 5.73 4.68 4.05 3.62 3.31 3.06 2.86 2.70 2.56 2.44 2.34 2.25 2.17 2.09 2.03 1.96 1.91 1.86 1.81
-80% 6.02 4.26 3.47 3.01 2.69 2.46 2.27 2.13 2.01 1.90 1.81 1.74 1.67 1.61 1.55 1.50 1.46 1.42 1.38 1.35
-70% 5.00 3.54 2.89 2.50 2.24 2.04 1.89 1.77 1.67 1.58 1.51 1.44 1.39 1.34 1.29 1.25 1.21 1.18 1.15 1.12
-60% 4.33 3.06 2.50 2.16 1.94 1.77 1.64 1.53 1.44 1.37 1.30 1.25 1.20 1.16 1.12 1.08 1.05 1.02 0.99 0.97
-50% 3.82 2.70 2.21 1.91 1.71 1.56 1.44 1.35 1.27 1.21 1.15 1.10 1.06 1.02 0.99 0.96 0.93 0.90 0.88 0.85
-40% 3.42 2.42 1.97 1.71 1.53 1.40 1.29 1.21 1.14 1.08 1.03 0.99 0.95 0.91 0.88 0.86 0.83 0.81 0.78 0.76
-30% 3.09 2.18 1.78 1.54 1.38 1.26 1.17 1.09 1.03 0.98 0.93 0.89 0.86 0.82 0.80 0.77 0.75 0.73 0.71 0.69
-20% 2.80 1.98 1.62 1.40 1.25 1.14 1.06 0.99 0.93 0.89 0.84 0.81 0.78 0.75 0.72 0.70 0.68 0.66 0.64 0.63
-10% 2.55 1.80 1.47 1.28 1.14 1.04 0.96 0.90 0.85 0.81 0.77 0.74 0.71 0.68 0.66 0.64 0.62 0.60 0.59 0.57
0% 2.33 1.64 1.34 1.16 1.04 0.95 0.88 0.82 0.78 0.74 0.70 0.67 0.65 0.62 0.60 0.58 0.56 0.55 0.53 0.52
10% 2.12 1.50 1.23 1.06 0.95 0.87 0.80 0.75 0.71 0.67 0.64 0.61 0.59 0.57 0.55 0.53 0.51 0.50 0.49 0.47
20% 1.93 1.37 1.12 0.97 0.86 0.79 0.73 0.68 0.64 0.61 0.58 0.56 0.54 0.52 0.50 0.48 0.47 0.46 0.44 0.43
30% 1.76 1.24 1.01 0.88 0.79 0.72 0.66 0.62 0.59 0.56 0.53 0.51 0.49 0.47 0.45 0.44 0.43 0.41 0.40 0.39
40% 1.59 1.12 0.92 0.79 0.71 0.65 0.60 0.56 0.53 0.50 0.48 0.46 0.44 0.42 0.41 0.40 0.38 0.37 0.36 0.35
50% 1.42 1.01 0.82 0.71 0.64 0.58 0.54 0.50 0.47 0.45 0.43 0.41 0.40 0.38 0.37 0.36 0.35 0.34 0.33 0.32
60% 1.27 0.90 0.73 0.63 0.57 0.52 0.48 0.45 0.42 0.40 0.38 0.37 0.35 0.34 0.33 0.32 0.31 0.30 0.29 0.28
70% 1.11 0.79 0.64 0.56 0.50 0.45 0.42 0.39 0.37 0.35 0.33 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.25 0.25
80% 0.96 0.68 0.55 0.48 0.43 0.39 0.36 0.34 0.32 0.30 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22 0.21
90% 0.81 0.57 0.47 0.41 0.36 0.33 0.31 0.29 0.27 0.26 0.24 0.23 0.22 0.22 0.21 0.20 0.20 0.19 0.19 0.18
26
9.1.2. Student assumptions and one-tailed test
Table 5: Sharpe level for 90% targeted skill using Student one-tailed test for daily periods
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 17.90 12.48 8.76 7.14 6.18 5.52 5.04 4.66 4.36 4.11 3.90 3.72 3.56 3.42 3.29 3.18 3.08 2.99 2.90 2.83 2.75
-80% 12.44 8.67 6.09 4.96 4.29 3.84 3.50 3.24 3.03 2.86 2.71 2.58 2.47 2.38 2.29 2.21 2.14 2.08 2.02 1.96 1.91
-70% 9.91 6.90 4.85 3.95 3.42 3.05 2.79 2.58 2.41 2.27 2.16 2.06 1.97 1.89 1.82 1.76 1.70 1.65 1.61 1.56 1.52
-60% 8.34 5.81 4.08 3.32 2.88 2.57 2.35 2.17 2.03 1.91 1.82 1.73 1.66 1.59 1.53 1.48 1.43 1.39 1.35 1.32 1.28
-50% 7.23 5.04 3.54 2.88 2.49 2.23 2.03 1.88 1.76 1.66 1.57 1.50 1.44 1.38 1.33 1.28 1.24 1.21 1.17 1.14 1.11
-40% 6.38 4.45 3.12 2.54 2.20 1.97 1.79 1.66 1.55 1.46 1.39 1.32 1.27 1.22 1.17 1.13 1.10 1.06 1.03 1.01 0.98
-30% 5.69 3.97 2.79 2.27 1.96 1.76 1.60 1.48 1.39 1.31 1.24 1.18 1.13 1.09 1.05 1.01 0.98 0.95 0.92 0.90 0.88
-20% 5.12 3.57 2.51 2.04 1.77 1.58 1.44 1.33 1.25 1.18 1.11 1.06 1.02 0.98 0.94 0.91 0.88 0.85 0.83 0.81 0.79
-10% 4.62 3.22 2.26 1.84 1.60 1.43 1.30 1.20 1.13 1.06 1.01 0.96 0.92 0.88 0.85 0.82 0.80 0.77 0.75 0.73 0.71
0% 4.18 2.92 2.05 1.67 1.44 1.29 1.18 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.74 0.72 0.70 0.68 0.66 0.64
10% 3.79 2.64 1.85 1.51 1.31 1.17 1.07 0.99 0.92 0.87 0.82 0.79 0.75 0.72 0.70 0.67 0.65 0.63 0.61 0.60 0.58
20% 3.42 2.38 1.67 1.36 1.18 1.05 0.96 0.89 0.83 0.78 0.74 0.71 0.68 0.65 0.63 0.61 0.59 0.57 0.55 0.54 0.53
30% 3.07 2.14 1.50 1.23 1.06 0.95 0.86 0.80 0.75 0.71 0.67 0.64 0.61 0.59 0.57 0.55 0.53 0.51 0.50 0.49 0.47
40% 2.74 1.91 1.34 1.09 0.95 0.85 0.77 0.71 0.67 0.63 0.60 0.57 0.55 0.52 0.50 0.49 0.47 0.46 0.45 0.43 0.42
50% 2.42 1.69 1.19 0.97 0.84 0.75 0.68 0.63 0.59 0.56 0.53 0.50 0.48 0.46 0.45 0.43 0.42 0.40 0.39 0.38 0.37
60% 2.10 1.46 1.03 0.84 0.72 0.65 0.59 0.55 0.51 0.48 0.46 0.44 0.42 0.40 0.39 0.37 0.36 0.35 0.34 0.33 0.32
70% 1.77 1.23 0.87 0.70 0.61 0.54 0.50 0.46 0.43 0.41 0.38 0.37 0.35 0.34 0.33 0.31 0.30 0.29 0.29 0.28 0.27
80% 1.41 0.98 0.69 0.56 0.49 0.43 0.40 0.37 0.34 0.32 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22 0.22
90% 0.98 0.68 0.48 0.39 0.34 0.30 0.28 0.25 0.24 0.22 0.21 0.20 0.19 0.19 0.18 0.17 0.17 0.16 0.16 0.15 0.15
27
Table 6: Sharpe level for 90% targeted skill using Student one-tailed test for monthly
periods under various auto-correlation assumptions
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 7.27 4.75 3.79 3.25 2.89 2.63 2.42 2.26 2.13 2.02 1.92 1.84 1.77 1.70 1.64 1.59 1.54 1.50 1.46 1.42
-80% 5.40 3.53 2.82 2.41 2.15 1.95 1.80 1.68 1.58 1.50 1.43 1.37 1.31 1.26 1.22 1.18 1.14 1.11 1.08 1.05
-70% 4.49 2.93 2.34 2.01 1.78 1.62 1.50 1.40 1.32 1.25 1.19 1.14 1.09 1.05 1.01 0.98 0.95 0.92 0.90 0.88
-60% 3.88 2.54 2.03 1.74 1.54 1.40 1.30 1.21 1.14 1.08 1.03 0.98 0.94 0.91 0.88 0.85 0.82 0.80 0.78 0.76
-50% 3.43 2.24 1.79 1.53 1.36 1.24 1.14 1.07 1.01 0.95 0.91 0.87 0.83 0.80 0.77 0.75 0.73 0.71 0.69 0.67
-40% 3.07 2.00 1.60 1.37 1.22 1.11 1.02 0.96 0.90 0.85 0.81 0.78 0.75 0.72 0.69 0.67 0.65 0.63 0.61 0.60
-30% 2.77 1.81 1.44 1.24 1.10 1.00 0.92 0.86 0.81 0.77 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.55 0.54
-20% 2.51 1.64 1.31 1.12 1.00 0.91 0.84 0.78 0.74 0.70 0.66 0.64 0.61 0.59 0.57 0.55 0.53 0.52 0.50 0.49
-10% 2.29 1.49 1.19 1.02 0.91 0.83 0.76 0.71 0.67 0.64 0.61 0.58 0.56 0.54 0.52 0.50 0.49 0.47 0.46 0.45
0% 2.09 1.36 1.09 0.93 0.83 0.75 0.70 0.65 0.61 0.58 0.55 0.53 0.51 0.49 0.47 0.46 0.44 0.43 0.42 0.41
10% 1.90 1.24 0.99 0.85 0.76 0.69 0.64 0.59 0.56 0.53 0.50 0.48 0.46 0.45 0.43 0.42 0.40 0.39 0.38 0.37
20% 1.73 1.13 0.90 0.78 0.69 0.63 0.58 0.54 0.51 0.48 0.46 0.44 0.42 0.41 0.39 0.38 0.37 0.36 0.35 0.34
30% 1.58 1.03 0.82 0.70 0.63 0.57 0.53 0.49 0.46 0.44 0.42 0.40 0.38 0.37 0.36 0.34 0.33 0.32 0.32 0.31
40% 1.42 0.93 0.74 0.64 0.57 0.51 0.48 0.44 0.42 0.40 0.38 0.36 0.35 0.33 0.32 0.31 0.30 0.29 0.29 0.28
50% 1.28 0.83 0.67 0.57 0.51 0.46 0.43 0.40 0.37 0.35 0.34 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.26 0.25
60% 1.14 0.74 0.59 0.51 0.45 0.41 0.38 0.35 0.33 0.32 0.30 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22
70% 1.00 0.65 0.52 0.45 0.40 0.36 0.33 0.31 0.29 0.28 0.26 0.25 0.24 0.23 0.23 0.22 0.21 0.21 0.20 0.19
80% 0.86 0.56 0.45 0.38 0.34 0.31 0.29 0.27 0.25 0.24 0.23 0.22 0.21 0.20 0.19 0.19 0.18 0.18 0.17 0.17
90% 0.73 0.48 0.38 0.33 0.29 0.26 0.24 0.23 0.21 0.20 0.19 0.18 0.18 0.17 0.16 0.16 0.15 0.15 0.15 0.14
28
9.1.3. Student assumptions and two-tailed test
Table 7: Sharpe level for 90% targeted skill using Student two-tailed test for daily periods
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 23.24 16.11 11.28 9.18 7.94 7.09 6.47 5.99 5.60 5.28 5.01 4.77 4.57 4.39 4.23 4.09 3.96 3.84 3.73 3.63 3.54
-80% 16.15 11.19 7.84 6.38 5.52 4.93 4.50 4.16 3.89 3.67 3.48 3.32 3.18 3.05 2.94 2.84 2.75 2.67 2.59 2.52 2.46
-70% 12.86 8.91 6.24 5.08 4.39 3.92 3.58 3.31 3.10 2.92 2.77 2.64 2.53 2.43 2.34 2.26 2.19 2.12 2.06 2.01 1.96
-60% 10.82 7.50 5.25 4.27 3.70 3.30 3.01 2.79 2.61 2.46 2.33 2.22 2.13 2.04 1.97 1.90 1.84 1.79 1.74 1.69 1.65
-50% 9.38 6.50 4.55 3.71 3.20 2.86 2.61 2.42 2.26 2.13 2.02 1.93 1.84 1.77 1.71 1.65 1.60 1.55 1.51 1.46 1.43
-40% 8.28 5.74 4.02 3.27 2.83 2.53 2.31 2.13 2.00 1.88 1.78 1.70 1.63 1.56 1.51 1.46 1.41 1.37 1.33 1.29 1.26
-30% 7.39 5.12 3.59 2.92 2.52 2.26 2.06 1.90 1.78 1.68 1.59 1.52 1.45 1.40 1.34 1.30 1.26 1.22 1.19 1.15 1.12
-20% 6.65 4.61 3.23 2.63 2.27 2.03 1.85 1.71 1.60 1.51 1.43 1.36 1.31 1.26 1.21 1.17 1.13 1.10 1.07 1.04 1.01
-10% 6.00 4.16 2.91 2.37 2.05 1.83 1.67 1.55 1.45 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.94 0.91
0% 5.43 3.76 2.64 2.15 1.85 1.66 1.51 1.40 1.31 1.23 1.17 1.12 1.07 1.03 0.99 0.95 0.92 0.90 0.87 0.85 0.83
10% 4.92 3.41 2.39 1.94 1.68 1.50 1.37 1.27 1.18 1.12 1.06 1.01 0.97 0.93 0.89 0.86 0.84 0.81 0.79 0.77 0.75
20% 4.44 3.08 2.15 1.75 1.52 1.35 1.24 1.14 1.07 1.01 0.96 0.91 0.87 0.84 0.81 0.78 0.76 0.73 0.71 0.69 0.68
30% 3.99 2.77 1.94 1.58 1.36 1.22 1.11 1.03 0.96 0.91 0.86 0.82 0.78 0.75 0.73 0.70 0.68 0.66 0.64 0.62 0.61
40% 3.56 2.47 1.73 1.41 1.22 1.09 0.99 0.92 0.86 0.81 0.77 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.56 0.54
50% 3.14 2.18 1.53 1.24 1.07 0.96 0.88 0.81 0.76 0.71 0.68 0.65 0.62 0.59 0.57 0.55 0.54 0.52 0.50 0.49 0.48
60% 2.73 1.89 1.32 1.08 0.93 0.83 0.76 0.70 0.66 0.62 0.59 0.56 0.54 0.51 0.50 0.48 0.46 0.45 0.44 0.43 0.41
70% 2.29 1.59 1.11 0.91 0.78 0.70 0.64 0.59 0.55 0.52 0.49 0.47 0.45 0.43 0.42 0.40 0.39 0.38 0.37 0.36 0.35
80% 1.83 1.27 0.89 0.72 0.62 0.56 0.51 0.47 0.44 0.41 0.39 0.38 0.36 0.34 0.33 0.32 0.31 0.30 0.29 0.29 0.28
90% 1.27 0.88 0.62 0.50 0.43 0.39 0.35 0.33 0.31 0.29 0.27 0.26 0.25 0.24 0.23 0.22 0.22 0.21 0.20 0.20 0.19
29
Table 8: Sharpe level for 90% targeted skill using Student two-tailed test for monthly
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 9.92 6.25 4.95 4.22 3.74 3.40 3.13 2.92 2.75 2.60 2.48 2.37 2.27 2.19 2.11 2.05 1.98 1.93 1.87 1.83
-80% 7.37 4.65 3.67 3.13 2.78 2.52 2.33 2.17 2.04 1.93 1.84 1.76 1.69 1.63 1.57 1.52 1.47 1.43 1.39 1.36
-70% 6.13 3.86 3.05 2.61 2.31 2.10 1.93 1.80 1.70 1.61 1.53 1.46 1.40 1.35 1.31 1.26 1.22 1.19 1.16 1.13
-60% 5.30 3.34 2.64 2.25 2.00 1.81 1.67 1.56 1.47 1.39 1.32 1.27 1.21 1.17 1.13 1.09 1.06 1.03 1.00 0.98
-50% 4.68 2.95 2.33 1.99 1.77 1.60 1.48 1.38 1.30 1.23 1.17 1.12 1.07 1.03 1.00 0.96 0.94 0.91 0.88 0.86
-40% 4.19 2.64 2.09 1.78 1.58 1.43 1.32 1.23 1.16 1.10 1.05 1.00 0.96 0.92 0.89 0.86 0.84 0.81 0.79 0.77
-30% 3.78 2.38 1.88 1.61 1.43 1.29 1.19 1.11 1.05 0.99 0.94 0.90 0.87 0.83 0.81 0.78 0.76 0.73 0.71 0.70
-20% 3.43 2.16 1.71 1.46 1.29 1.17 1.08 1.01 0.95 0.90 0.86 0.82 0.79 0.76 0.73 0.71 0.69 0.67 0.65 0.63
-10% 3.12 1.97 1.56 1.33 1.18 1.07 0.99 0.92 0.87 0.82 0.78 0.75 0.72 0.69 0.67 0.64 0.62 0.61 0.59 0.57
0% 2.85 1.80 1.42 1.21 1.07 0.98 0.90 0.84 0.79 0.75 0.71 0.68 0.65 0.63 0.61 0.59 0.57 0.55 0.54 0.52
10% 2.60 1.64 1.30 1.11 0.98 0.89 0.82 0.77 0.72 0.68 0.65 0.62 0.60 0.57 0.55 0.54 0.52 0.50 0.49 0.48
20% 2.37 1.49 1.18 1.01 0.89 0.81 0.75 0.70 0.66 0.62 0.59 0.57 0.54 0.52 0.50 0.49 0.47 0.46 0.45 0.44
30% 2.15 1.36 1.07 0.91 0.81 0.74 0.68 0.63 0.60 0.56 0.54 0.51 0.49 0.47 0.46 0.44 0.43 0.42 0.41 0.40
40% 1.94 1.23 0.97 0.83 0.73 0.67 0.61 0.57 0.54 0.51 0.49 0.46 0.45 0.43 0.41 0.40 0.39 0.38 0.37 0.36
50% 1.75 1.10 0.87 0.74 0.66 0.60 0.55 0.51 0.48 0.46 0.44 0.42 0.40 0.39 0.37 0.36 0.35 0.34 0.33 0.32
60% 1.55 0.98 0.77 0.66 0.58 0.53 0.49 0.46 0.43 0.41 0.39 0.37 0.36 0.34 0.33 0.32 0.31 0.30 0.29 0.29
70% 1.36 0.86 0.68 0.58 0.51 0.47 0.43 0.40 0.38 0.36 0.34 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.26 0.25
80% 1.17 0.74 0.58 0.50 0.44 0.40 0.37 0.35 0.33 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22 0.22
90% 0.99 0.63 0.49 0.42 0.37 0.34 0.31 0.29 0.27 0.26 0.25 0.24 0.23 0.22 0.21 0.20 0.20 0.19 0.19 0.18
30
9.2. 95% skill target
Table 9: Sharpe level for 95% targeted skill using Wald two-tailed test for daily periods
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 26.63 18.83 13.31 10.87 9.41 8.42 7.69 7.12 6.66 6.28 5.95 5.68 5.44 5.22 5.03 4.86 4.71 4.57 4.44 4.32 4.21
-80% 18.51 13.09 9.25 7.55 6.54 5.85 5.34 4.95 4.63 4.36 4.14 3.95 3.78 3.63 3.50 3.38 3.27 3.17 3.08 3.00 2.93
-70% 14.73 10.42 7.37 6.01 5.21 4.66 4.25 3.94 3.68 3.47 3.29 3.14 3.01 2.89 2.78 2.69 2.60 2.53 2.46 2.39 2.33
-60% 12.40 8.77 6.20 5.06 4.38 3.92 3.58 3.31 3.10 2.92 2.77 2.64 2.53 2.43 2.34 2.26 2.19 2.13 2.07 2.01 1.96
-50% 10.75 7.60 5.37 4.39 3.80 3.40 3.10 2.87 2.69 2.53 2.40 2.29 2.19 2.11 2.03 1.96 1.90 1.84 1.79 1.74 1.70
-40% 9.49 6.71 4.74 3.87 3.35 3.00 2.74 2.54 2.37 2.24 2.12 2.02 1.94 1.86 1.79 1.73 1.68 1.63 1.58 1.54 1.50
-30% 8.47 5.99 4.23 3.46 2.99 2.68 2.44 2.26 2.12 2.00 1.89 1.81 1.73 1.66 1.60 1.55 1.50 1.45 1.41 1.37 1.34
-20% 7.61 5.38 3.81 3.11 2.69 2.41 2.20 2.04 1.90 1.79 1.70 1.62 1.55 1.49 1.44 1.39 1.35 1.31 1.27 1.24 1.20
-10% 6.88 4.86 3.44 2.81 2.43 2.17 1.99 1.84 1.72 1.62 1.54 1.47 1.40 1.35 1.30 1.26 1.22 1.18 1.15 1.12 1.09
0% 6.22 4.40 3.11 2.54 2.20 1.97 1.80 1.66 1.56 1.47 1.39 1.33 1.27 1.22 1.18 1.14 1.10 1.07 1.04 1.01 0.98
10% 5.63 3.98 2.82 2.30 1.99 1.78 1.63 1.50 1.41 1.33 1.26 1.20 1.15 1.10 1.06 1.03 1.00 0.97 0.94 0.91 0.89
20% 5.09 3.60 2.54 2.08 1.80 1.61 1.47 1.36 1.27 1.20 1.14 1.08 1.04 1.00 0.96 0.93 0.90 0.87 0.85 0.82 0.80
30% 4.57 3.23 2.29 1.87 1.62 1.45 1.32 1.22 1.14 1.08 1.02 0.97 0.93 0.90 0.86 0.83 0.81 0.78 0.76 0.74 0.72
40% 4.08 2.89 2.04 1.67 1.44 1.29 1.18 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.75 0.72 0.70 0.68 0.66 0.65
50% 3.60 2.55 1.80 1.47 1.27 1.14 1.04 0.96 0.90 0.85 0.81 0.77 0.74 0.71 0.68 0.66 0.64 0.62 0.60 0.58 0.57
60% 3.12 2.21 1.56 1.27 1.10 0.99 0.90 0.83 0.78 0.74 0.70 0.67 0.64 0.61 0.59 0.57 0.55 0.54 0.52 0.51 0.49
70% 2.63 1.86 1.31 1.07 0.93 0.83 0.76 0.70 0.66 0.62 0.59 0.56 0.54 0.52 0.50 0.48 0.46 0.45 0.44 0.43 0.42
80% 2.09 1.48 1.05 0.85 0.74 0.66 0.60 0.56 0.52 0.49 0.47 0.45 0.43 0.41 0.40 0.38 0.37 0.36 0.35 0.34 0.33
90% 1.46 1.03 0.73 0.59 0.51 0.46 0.42 0.39 0.36 0.34 0.33 0.31 0.30 0.29 0.28 0.27 0.26 0.25 0.24 0.24 0.23
31
Table 10: Sharpe level for 95% targeted skill using Wald two-tailed test for monthly periods
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 9.65 6.83 5.57 4.83 4.32 3.94 3.65 3.41 3.22 3.05 2.91 2.79 2.68 2.58 2.49 2.41 2.34 2.28 2.21 2.16
-80% 7.17 5.07 4.14 3.59 3.21 2.93 2.71 2.54 2.39 2.27 2.16 2.07 1.99 1.92 1.85 1.79 1.74 1.69 1.64 1.60
-70% 5.96 4.21 3.44 2.98 2.67 2.43 2.25 2.11 1.99 1.88 1.80 1.72 1.65 1.59 1.54 1.49 1.45 1.40 1.37 1.33
-60% 5.16 3.65 2.98 2.58 2.31 2.11 1.95 1.82 1.72 1.63 1.55 1.49 1.43 1.38 1.33 1.29 1.25 1.22 1.18 1.15
-50% 4.55 3.22 2.63 2.28 2.04 1.86 1.72 1.61 1.52 1.44 1.37 1.31 1.26 1.22 1.18 1.14 1.10 1.07 1.04 1.02
-40% 4.08 2.88 2.35 2.04 1.82 1.66 1.54 1.44 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.93 0.91
-30% 3.68 2.60 2.12 1.84 1.64 1.50 1.39 1.30 1.23 1.16 1.11 1.06 1.02 0.98 0.95 0.92 0.89 0.87 0.84 0.82
-20% 3.34 2.36 1.93 1.67 1.49 1.36 1.26 1.18 1.11 1.06 1.01 0.96 0.93 0.89 0.86 0.83 0.81 0.79 0.77 0.75
-10% 3.04 2.15 1.75 1.52 1.36 1.24 1.15 1.07 1.01 0.96 0.92 0.88 0.84 0.81 0.78 0.76 0.74 0.72 0.70 0.68
0% 2.77 1.96 1.60 1.39 1.24 1.13 1.05 0.98 0.92 0.88 0.84 0.80 0.77 0.74 0.72 0.69 0.67 0.65 0.64 0.62
10% 2.53 1.79 1.46 1.26 1.13 1.03 0.96 0.89 0.84 0.80 0.76 0.73 0.70 0.68 0.65 0.63 0.61 0.60 0.58 0.57
20% 2.30 1.63 1.33 1.15 1.03 0.94 0.87 0.81 0.77 0.73 0.69 0.66 0.64 0.62 0.59 0.58 0.56 0.54 0.53 0.52
30% 2.09 1.48 1.21 1.05 0.94 0.85 0.79 0.74 0.70 0.66 0.63 0.60 0.58 0.56 0.54 0.52 0.51 0.49 0.48 0.47
40% 1.89 1.34 1.09 0.95 0.85 0.77 0.71 0.67 0.63 0.60 0.57 0.55 0.52 0.51 0.49 0.47 0.46 0.45 0.43 0.42
50% 1.70 1.20 0.98 0.85 0.76 0.69 0.64 0.60 0.57 0.54 0.51 0.49 0.47 0.45 0.44 0.42 0.41 0.40 0.39 0.38
60% 1.51 1.07 0.87 0.75 0.67 0.62 0.57 0.53 0.50 0.48 0.45 0.44 0.42 0.40 0.39 0.38 0.37 0.36 0.35 0.34
70% 1.32 0.94 0.76 0.66 0.59 0.54 0.50 0.47 0.44 0.42 0.40 0.38 0.37 0.35 0.34 0.33 0.32 0.31 0.30 0.30
80% 1.14 0.81 0.66 0.57 0.51 0.47 0.43 0.40 0.38 0.36 0.34 0.33 0.32 0.31 0.29 0.29 0.28 0.27 0.26 0.26
90% 0.97 0.68 0.56 0.48 0.43 0.39 0.37 0.34 0.32 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22 0.22
32
Table 11: Sharpe level for 95% targeted skill using Student one-tailed test for daily periods
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 23.24 16.11 11.28 9.18 7.94 7.09 6.47 5.99 5.60 5.28 5.01 4.77 4.57 4.39 4.23 4.09 3.96 3.84 3.73 3.63 3.54
-80% 16.15 11.19 7.84 6.38 5.52 4.93 4.50 4.16 3.89 3.67 3.48 3.32 3.18 3.05 2.94 2.84 2.75 2.67 2.59 2.52 2.46
-70% 12.86 8.91 6.24 5.08 4.39 3.92 3.58 3.31 3.10 2.92 2.77 2.64 2.53 2.43 2.34 2.26 2.19 2.12 2.06 2.01 1.96
-60% 10.82 7.50 5.25 4.27 3.70 3.30 3.01 2.79 2.61 2.46 2.33 2.22 2.13 2.04 1.97 1.90 1.84 1.79 1.74 1.69 1.65
-50% 9.38 6.50 4.55 3.71 3.20 2.86 2.61 2.42 2.26 2.13 2.02 1.93 1.84 1.77 1.71 1.65 1.60 1.55 1.51 1.46 1.43
-40% 8.28 5.74 4.02 3.27 2.83 2.53 2.31 2.13 2.00 1.88 1.78 1.70 1.63 1.56 1.51 1.46 1.41 1.37 1.33 1.29 1.26
-30% 7.39 5.12 3.59 2.92 2.52 2.26 2.06 1.90 1.78 1.68 1.59 1.52 1.45 1.40 1.34 1.30 1.26 1.22 1.19 1.15 1.12
-20% 6.65 4.61 3.23 2.63 2.27 2.03 1.85 1.71 1.60 1.51 1.43 1.36 1.31 1.26 1.21 1.17 1.13 1.10 1.07 1.04 1.01
-10% 6.00 4.16 2.91 2.37 2.05 1.83 1.67 1.55 1.45 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.94 0.91
0% 5.43 3.76 2.64 2.15 1.85 1.66 1.51 1.40 1.31 1.23 1.17 1.12 1.07 1.03 0.99 0.95 0.92 0.90 0.87 0.85 0.83
10% 4.92 3.41 2.39 1.94 1.68 1.50 1.37 1.27 1.18 1.12 1.06 1.01 0.97 0.93 0.89 0.86 0.84 0.81 0.79 0.77 0.75
20% 4.44 3.08 2.15 1.75 1.52 1.35 1.24 1.14 1.07 1.01 0.96 0.91 0.87 0.84 0.81 0.78 0.76 0.73 0.71 0.69 0.68
30% 3.99 2.77 1.94 1.58 1.36 1.22 1.11 1.03 0.96 0.91 0.86 0.82 0.78 0.75 0.73 0.70 0.68 0.66 0.64 0.62 0.61
40% 3.56 2.47 1.73 1.41 1.22 1.09 0.99 0.92 0.86 0.81 0.77 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.56 0.54
50% 3.14 2.18 1.53 1.24 1.07 0.96 0.88 0.81 0.76 0.71 0.68 0.65 0.62 0.59 0.57 0.55 0.54 0.52 0.50 0.49 0.48
60% 2.73 1.89 1.32 1.08 0.93 0.83 0.76 0.70 0.66 0.62 0.59 0.56 0.54 0.51 0.50 0.48 0.46 0.45 0.44 0.43 0.41
70% 2.29 1.59 1.11 0.91 0.78 0.70 0.64 0.59 0.55 0.52 0.49 0.47 0.45 0.43 0.42 0.40 0.39 0.38 0.37 0.36 0.35
80% 1.83 1.27 0.89 0.72 0.62 0.56 0.51 0.47 0.44 0.41 0.39 0.38 0.36 0.34 0.33 0.32 0.31 0.30 0.29 0.29 0.28
90% 1.27 0.88 0.62 0.50 0.43 0.39 0.35 0.33 0.31 0.29 0.27 0.26 0.25 0.24 0.23 0.22 0.22 0.21 0.20 0.20 0.19
33
Table 12: Sharpe level for 95% targeted skill using Student one-tailed test for monthly
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 9.92 6.25 4.95 4.22 3.74 3.40 3.13 2.92 2.75 2.60 2.48 2.37 2.27 2.19 2.11 2.05 1.98 1.93 1.87 1.83
-80% 7.37 4.65 3.67 3.13 2.78 2.52 2.33 2.17 2.04 1.93 1.84 1.76 1.69 1.63 1.57 1.52 1.47 1.43 1.39 1.36
-70% 6.13 3.86 3.05 2.61 2.31 2.10 1.93 1.80 1.70 1.61 1.53 1.46 1.40 1.35 1.31 1.26 1.22 1.19 1.16 1.13
-60% 5.30 3.34 2.64 2.25 2.00 1.81 1.67 1.56 1.47 1.39 1.32 1.27 1.21 1.17 1.13 1.09 1.06 1.03 1.00 0.98
-50% 4.68 2.95 2.33 1.99 1.77 1.60 1.48 1.38 1.30 1.23 1.17 1.12 1.07 1.03 1.00 0.96 0.94 0.91 0.88 0.86
-40% 4.19 2.64 2.09 1.78 1.58 1.43 1.32 1.23 1.16 1.10 1.05 1.00 0.96 0.92 0.89 0.86 0.84 0.81 0.79 0.77
-30% 3.78 2.38 1.88 1.61 1.43 1.29 1.19 1.11 1.05 0.99 0.94 0.90 0.87 0.83 0.81 0.78 0.76 0.73 0.71 0.70
-20% 3.43 2.16 1.71 1.46 1.29 1.17 1.08 1.01 0.95 0.90 0.86 0.82 0.79 0.76 0.73 0.71 0.69 0.67 0.65 0.63
-10% 3.12 1.97 1.56 1.33 1.18 1.07 0.99 0.92 0.87 0.82 0.78 0.75 0.72 0.69 0.67 0.64 0.62 0.61 0.59 0.57
0% 2.85 1.80 1.42 1.21 1.07 0.98 0.90 0.84 0.79 0.75 0.71 0.68 0.65 0.63 0.61 0.59 0.57 0.55 0.54 0.52
10% 2.60 1.64 1.30 1.11 0.98 0.89 0.82 0.77 0.72 0.68 0.65 0.62 0.60 0.57 0.55 0.54 0.52 0.50 0.49 0.48
20% 2.37 1.49 1.18 1.01 0.89 0.81 0.75 0.70 0.66 0.62 0.59 0.57 0.54 0.52 0.50 0.49 0.47 0.46 0.45 0.44
30% 2.15 1.36 1.07 0.91 0.81 0.74 0.68 0.63 0.60 0.56 0.54 0.51 0.49 0.47 0.46 0.44 0.43 0.42 0.41 0.40
40% 1.94 1.23 0.97 0.83 0.73 0.67 0.61 0.57 0.54 0.51 0.49 0.46 0.45 0.43 0.41 0.40 0.39 0.38 0.37 0.36
50% 1.75 1.10 0.87 0.74 0.66 0.60 0.55 0.51 0.48 0.46 0.44 0.42 0.40 0.39 0.37 0.36 0.35 0.34 0.33 0.32
60% 1.55 0.98 0.77 0.66 0.58 0.53 0.49 0.46 0.43 0.41 0.39 0.37 0.36 0.34 0.33 0.32 0.31 0.30 0.29 0.29
70% 1.36 0.86 0.68 0.58 0.51 0.47 0.43 0.40 0.38 0.36 0.34 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.26 0.25
80% 1.17 0.74 0.58 0.50 0.44 0.40 0.37 0.35 0.33 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23 0.23 0.22 0.22
90% 0.99 0.63 0.49 0.42 0.37 0.34 0.31 0.29 0.27 0.26 0.25 0.24 0.23 0.22 0.21 0.20 0.20 0.19 0.19 0.18
34
Table 13: Sharpe level for 95% targeted skill using Student two-tailed test for daily periods
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 28.04 19.31 13.48 10.96 9.47 8.46 7.72 7.14 6.68 6.29 5.97 5.69 5.45 5.23 5.04 4.87 4.71 4.57 4.44 4.33 4.22
-80% 19.49 13.42 9.37 7.62 6.58 5.88 5.36 4.96 4.64 4.37 4.15 3.95 3.79 3.64 3.50 3.38 3.28 3.18 3.09 3.01 2.93
-70% 15.51 10.68 7.46 6.06 5.24 4.68 4.27 3.95 3.69 3.48 3.30 3.15 3.01 2.89 2.79 2.69 2.61 2.53 2.46 2.39 2.33
-60% 13.06 8.99 6.28 5.10 4.41 3.94 3.59 3.33 3.11 2.93 2.78 2.65 2.54 2.44 2.35 2.27 2.20 2.13 2.07 2.01 1.96
-50% 11.32 7.79 5.44 4.42 3.82 3.42 3.12 2.88 2.70 2.54 2.41 2.30 2.20 2.11 2.04 1.97 1.90 1.85 1.79 1.75 1.70
-40% 9.99 6.88 4.80 3.90 3.37 3.01 2.75 2.54 2.38 2.24 2.13 2.03 1.94 1.86 1.80 1.73 1.68 1.63 1.58 1.54 1.50
-30% 8.92 6.14 4.29 3.49 3.01 2.69 2.45 2.27 2.12 2.00 1.90 1.81 1.73 1.66 1.60 1.55 1.50 1.45 1.41 1.38 1.34
-20% 8.02 5.52 3.85 3.13 2.71 2.42 2.21 2.04 1.91 1.80 1.71 1.63 1.56 1.50 1.44 1.39 1.35 1.31 1.27 1.24 1.21
-10% 7.24 4.99 3.48 2.83 2.45 2.19 1.99 1.84 1.72 1.63 1.54 1.47 1.41 1.35 1.30 1.26 1.22 1.18 1.15 1.12 1.09
0% 6.55 4.51 3.15 2.56 2.21 1.98 1.80 1.67 1.56 1.47 1.39 1.33 1.27 1.22 1.18 1.14 1.10 1.07 1.04 1.01 0.99
10% 5.93 4.08 2.85 2.32 2.00 1.79 1.63 1.51 1.41 1.33 1.26 1.20 1.15 1.11 1.07 1.03 1.00 0.97 0.94 0.91 0.89
20% 5.35 3.69 2.57 2.09 1.81 1.62 1.47 1.36 1.28 1.20 1.14 1.09 1.04 1.00 0.96 0.93 0.90 0.87 0.85 0.83 0.80
30% 4.81 3.31 2.31 1.88 1.63 1.45 1.33 1.23 1.15 1.08 1.02 0.98 0.94 0.90 0.87 0.84 0.81 0.79 0.76 0.74 0.72
40% 4.30 2.96 2.07 1.68 1.45 1.30 1.18 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.75 0.72 0.70 0.68 0.66 0.65
50% 3.79 2.61 1.82 1.48 1.28 1.14 1.04 0.97 0.90 0.85 0.81 0.77 0.74 0.71 0.68 0.66 0.64 0.62 0.60 0.59 0.57
60% 3.29 2.26 1.58 1.29 1.11 0.99 0.91 0.84 0.78 0.74 0.70 0.67 0.64 0.61 0.59 0.57 0.55 0.54 0.52 0.51 0.49
70% 2.77 1.91 1.33 1.08 0.93 0.84 0.76 0.70 0.66 0.62 0.59 0.56 0.54 0.52 0.50 0.48 0.47 0.45 0.44 0.43 0.42
80% 2.20 1.52 1.06 0.86 0.74 0.67 0.61 0.56 0.52 0.49 0.47 0.45 0.43 0.41 0.40 0.38 0.37 0.36 0.35 0.34 0.33
90% 1.53 1.06 0.74 0.60 0.52 0.46 0.42 0.39 0.36 0.34 0.33 0.31 0.30 0.29 0.28 0.27 0.26 0.25 0.24 0.24 0.23
35
Table 14: Sharpe level for 95% targeted skill using Student two-tailed test for monthly
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 12.66 7.67 6.00 5.09 4.50 4.08 3.76 3.50 3.29 3.12 2.97 2.83 2.72 2.62 2.53 2.44 2.37 2.30 2.24 2.18
-80% 9.40 5.69 4.46 3.78 3.35 3.03 2.79 2.60 2.45 2.31 2.20 2.11 2.02 1.94 1.88 1.82 1.76 1.71 1.66 1.62
-70% 7.82 4.73 3.70 3.15 2.78 2.52 2.32 2.16 2.03 1.92 1.83 1.75 1.68 1.62 1.56 1.51 1.46 1.42 1.38 1.35
-60% 6.76 4.09 3.20 2.72 2.41 2.18 2.01 1.87 1.76 1.66 1.58 1.51 1.45 1.40 1.35 1.31 1.27 1.23 1.20 1.16
-50% 5.97 3.62 2.83 2.40 2.13 1.93 1.77 1.65 1.55 1.47 1.40 1.34 1.28 1.24 1.19 1.15 1.12 1.09 1.06 1.03
-40% 5.35 3.24 2.53 2.15 1.90 1.72 1.59 1.48 1.39 1.32 1.25 1.20 1.15 1.11 1.07 1.03 1.00 0.97 0.95 0.92
-30% 4.82 2.92 2.29 1.94 1.72 1.56 1.43 1.33 1.25 1.19 1.13 1.08 1.04 1.00 0.96 0.93 0.90 0.88 0.85 0.83
-20% 4.38 2.65 2.07 1.76 1.56 1.41 1.30 1.21 1.14 1.08 1.03 0.98 0.94 0.91 0.87 0.85 0.82 0.80 0.77 0.75
-10% 3.99 2.41 1.89 1.60 1.42 1.29 1.18 1.10 1.04 0.98 0.93 0.89 0.86 0.82 0.80 0.77 0.75 0.72 0.70 0.69
0% 3.64 2.20 1.72 1.46 1.29 1.17 1.08 1.01 0.95 0.89 0.85 0.81 0.78 0.75 0.73 0.70 0.68 0.66 0.64 0.63
10% 3.32 2.01 1.57 1.33 1.18 1.07 0.98 0.92 0.86 0.82 0.78 0.74 0.71 0.69 0.66 0.64 0.62 0.60 0.59 0.57
20% 3.02 1.83 1.43 1.22 1.07 0.97 0.90 0.84 0.79 0.74 0.71 0.68 0.65 0.62 0.60 0.58 0.57 0.55 0.53 0.52
30% 2.74 1.66 1.30 1.10 0.98 0.88 0.81 0.76 0.71 0.68 0.64 0.61 0.59 0.57 0.55 0.53 0.51 0.50 0.49 0.47
40% 2.48 1.50 1.18 1.00 0.88 0.80 0.74 0.69 0.65 0.61 0.58 0.56 0.53 0.51 0.50 0.48 0.46 0.45 0.44 0.43
50% 2.23 1.35 1.05 0.90 0.79 0.72 0.66 0.62 0.58 0.55 0.52 0.50 0.48 0.46 0.44 0.43 0.42 0.40 0.39 0.38
60% 1.98 1.20 0.94 0.80 0.70 0.64 0.59 0.55 0.51 0.49 0.46 0.44 0.43 0.41 0.39 0.38 0.37 0.36 0.35 0.34
70% 1.74 1.05 0.82 0.70 0.62 0.56 0.52 0.48 0.45 0.43 0.41 0.39 0.37 0.36 0.35 0.34 0.32 0.32 0.31 0.30
80% 1.50 0.91 0.71 0.60 0.53 0.48 0.44 0.41 0.39 0.37 0.35 0.34 0.32 0.31 0.30 0.29 0.28 0.27 0.26 0.26
90% 1.27 0.77 0.60 0.51 0.45 0.41 0.38 0.35 0.33 0.31 0.30 0.28 0.27 0.26 0.25 0.24 0.24 0.23 0.22 0.22
36
9.3. Sharpe ratio significance level
Table 15: Sharpe for various confidence levels and number of periods for daily periods (with
zero auto-correlation) using Wald test
Skill percentage 25 50 100 122 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
80% 4.07 2.88 2.03 1.84 1.66 1.44 1.29 1.17 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.74 0.72 0.70 0.68 0.66 0.64
85% 4.57 3.23 2.29 2.07 1.87 1.62 1.45 1.32 1.22 1.14 1.08 1.02 0.97 0.93 0.90 0.86 0.83 0.81 0.78 0.76 0.74 0.72
90% 5.22 3.69 2.61 2.36 2.13 1.85 1.65 1.51 1.40 1.31 1.23 1.17 1.11 1.07 1.02 0.99 0.95 0.92 0.90 0.87 0.85 0.83
91% 5.38 3.81 2.69 2.44 2.20 1.90 1.70 1.55 1.44 1.35 1.27 1.20 1.15 1.10 1.06 1.02 0.98 0.95 0.92 0.90 0.87 0.85
92% 5.56 3.93 2.78 2.52 2.27 1.97 1.76 1.60 1.49 1.39 1.31 1.24 1.19 1.13 1.09 1.05 1.01 0.98 0.95 0.93 0.90 0.88
93% 5.75 4.07 2.88 2.60 2.35 2.03 1.82 1.66 1.54 1.44 1.36 1.29 1.23 1.17 1.13 1.09 1.05 1.02 0.99 0.96 0.93 0.91
94% 5.97 4.22 2.99 2.70 2.44 2.11 1.89 1.72 1.60 1.49 1.41 1.34 1.27 1.22 1.17 1.13 1.09 1.06 1.02 1.00 0.97 0.94
95% 6.22 4.40 3.11 2.82 2.54 2.20 1.97 1.80 1.66 1.56 1.47 1.39 1.33 1.27 1.22 1.18 1.14 1.10 1.07 1.04 1.01 0.98
96% 6.52 4.61 3.26 2.95 2.66 2.31 2.06 1.88 1.74 1.63 1.54 1.46 1.39 1.33 1.28 1.23 1.19 1.15 1.12 1.09 1.06 1.03
97% 6.89 4.87 3.44 3.12 2.81 2.44 2.18 1.99 1.84 1.72 1.62 1.54 1.47 1.41 1.35 1.30 1.26 1.22 1.18 1.15 1.12 1.09
98% 7.39 5.22 3.69 3.34 3.02 2.61 2.34 2.13 1.97 1.85 1.74 1.65 1.57 1.51 1.45 1.40 1.35 1.31 1.27 1.23 1.20 1.17
99% 8.18 5.78 4.09 3.70 3.34 2.89 2.59 2.36 2.19 2.04 1.93 1.83 1.74 1.67 1.60 1.55 1.49 1.45 1.40 1.36 1.33 1.29
99.1% 8.29 5.86 4.15 3.75 3.39 2.93 2.62 2.39 2.22 2.07 1.95 1.85 1.77 1.69 1.63 1.57 1.51 1.47 1.42 1.38 1.35 1.31
99.2% 8.42 5.95 4.21 3.81 3.44 2.98 2.66 2.43 2.25 2.11 1.98 1.88 1.80 1.72 1.65 1.59 1.54 1.49 1.44 1.40 1.37 1.33
99.3% 8.56 6.05 4.28 3.88 3.50 3.03 2.71 2.47 2.29 2.14 2.02 1.91 1.83 1.75 1.68 1.62 1.56 1.51 1.47 1.43 1.39 1.35
99.4% 8.72 6.17 4.36 3.95 3.56 3.08 2.76 2.52 2.33 2.18 2.06 1.95 1.86 1.78 1.71 1.65 1.59 1.54 1.50 1.45 1.42 1.38
99.5% 8.91 6.30 4.46 4.03 3.64 3.15 2.82 2.57 2.38 2.23 2.10 1.99 1.90 1.82 1.75 1.68 1.63 1.58 1.53 1.49 1.45 1.41
99.6% 9.14 6.46 4.57 4.14 3.73 3.23 2.89 2.64 2.44 2.28 2.15 2.04 1.95 1.87 1.79 1.73 1.67 1.62 1.57 1.52 1.48 1.44
99.7% 9.42 6.66 4.71 4.27 3.85 3.33 2.98 2.72 2.52 2.36 2.22 2.11 2.01 1.92 1.85 1.78 1.72 1.67 1.62 1.57 1.53 1.49
99.8% 9.81 6.94 4.91 4.44 4.01 3.47 3.10 2.83 2.62 2.45 2.31 2.19 2.09 2.00 1.92 1.85 1.79 1.73 1.68 1.64 1.59 1.55
99.9% 10.45 7.39 5.22 4.73 4.27 3.69 3.30 3.02 2.79 2.61 2.46 2.34 2.23 2.13 2.05 1.97 1.91 1.85 1.79 1.74 1.69 1.65
99.91% 10.54 7.45 5.27 4.77 4.30 3.73 3.33 3.04 2.82 2.64 2.48 2.36 2.25 2.15 2.07 1.99 1.92 1.86 1.81 1.76 1.71 1.67
99.92% 10.64 7.53 5.32 4.82 4.35 3.76 3.37 3.07 2.84 2.66 2.51 2.38 2.27 2.17 2.09 2.01 1.94 1.88 1.83 1.77 1.73 1.68
99.93% 10.76 7.61 5.38 4.87 4.39 3.80 3.40 3.11 2.88 2.69 2.54 2.41 2.29 2.20 2.11 2.03 1.96 1.90 1.85 1.79 1.75 1.70
99.94% 10.90 7.70 5.45 4.93 4.45 3.85 3.45 3.15 2.91 2.72 2.57 2.44 2.32 2.22 2.14 2.06 1.99 1.93 1.87 1.82 1.77 1.72
99.95% 11.05 7.81 5.53 5.00 4.51 3.91 3.49 3.19 2.95 2.76 2.60 2.47 2.36 2.26 2.17 2.09 2.02 1.95 1.90 1.84 1.79 1.75
99.96% 11.24 7.95 5.62 5.09 4.59 3.97 3.55 3.24 3.00 2.81 2.65 2.51 2.40 2.29 2.20 2.12 2.05 1.99 1.93 1.87 1.82 1.78
99.97% 11.48 8.12 5.74 5.20 4.69 4.06 3.63 3.31 3.07 2.87 2.71 2.57 2.45 2.34 2.25 2.17 2.10 2.03 1.97 1.91 1.86 1.81
99.98% 11.81 8.35 5.90 5.35 4.82 4.17 3.73 3.41 3.16 2.95 2.78 2.64 2.52 2.41 2.32 2.23 2.16 2.09 2.02 1.97 1.92 1.87
99.99% 12.35 8.73 6.18 5.59 5.04 4.37 3.91 3.57 3.30 3.09 2.91 2.76 2.63 2.52 2.42 2.33 2.26 2.18 2.12 2.06 2.00 1.95
99.991% 12.43 8.79 6.22 5.63 5.08 4.40 3.93 3.59 3.32 3.11 2.93 2.78 2.65 2.54 2.44 2.35 2.27 2.20 2.13 2.07 2.02 1.97
99.992% 12.52 8.86 6.26 5.67 5.11 4.43 3.96 3.62 3.35 3.13 2.95 2.80 2.67 2.56 2.46 2.37 2.29 2.21 2.15 2.09 2.03 1.98
99.993% 12.62 8.93 6.31 5.71 5.15 4.46 3.99 3.64 3.37 3.16 2.98 2.82 2.69 2.58 2.48 2.39 2.30 2.23 2.17 2.10 2.05 2.00
99.994% 12.74 9.01 6.37 5.77 5.20 4.50 4.03 3.68 3.40 3.19 3.00 2.85 2.72 2.60 2.50 2.41 2.33 2.25 2.18 2.12 2.07 2.01
99.995% 12.88 9.10 6.44 5.83 5.26 4.55 4.07 3.72 3.44 3.22 3.03 2.88 2.75 2.63 2.53 2.43 2.35 2.28 2.21 2.15 2.09 2.04
99.996% 13.04 9.22 6.52 5.90 5.32 4.61 4.12 3.76 3.49 3.26 3.07 2.92 2.78 2.66 2.56 2.46 2.38 2.31 2.24 2.17 2.12 2.06
99.997% 13.25 9.37 6.63 6.00 5.41 4.68 4.19 3.83 3.54 3.31 3.12 2.96 2.82 2.70 2.60 2.50 2.42 2.34 2.27 2.21 2.15 2.10
99.998% 13.54 9.57 6.77 6.13 5.53 4.79 4.28 3.91 3.62 3.39 3.19 3.03 2.89 2.76 2.66 2.56 2.47 2.39 2.32 2.26 2.20 2.14
99.999% 14.02 9.92 7.01 6.35 5.73 4.96 4.43 4.05 3.75 3.51 3.31 3.14 2.99 2.86 2.75 2.65 2.56 2.48 2.41 2.34 2.28 2.22
99.9991% 14.10 9.97 7.05 6.38 5.75 4.98 4.46 4.07 3.77 3.52 3.32 3.15 3.01 2.88 2.76 2.66 2.57 2.49 2.42 2.35 2.29 2.23
99.9992% 14.18 10.02 7.09 6.42 5.79 5.01 4.48 4.09 3.79 3.54 3.34 3.17 3.02 2.89 2.78 2.68 2.59 2.51 2.43 2.36 2.30 2.24
99.9993% 14.27 10.09 7.13 6.46 5.82 5.04 4.51 4.12 3.81 3.57 3.36 3.19 3.04 2.91 2.80 2.70 2.60 2.52 2.45 2.38 2.31 2.26
99.9994% 14.37 10.16 7.19 6.51 5.87 5.08 4.54 4.15 3.84 3.59 3.39 3.21 3.06 2.93 2.82 2.72 2.62 2.54 2.46 2.40 2.33 2.27
99.9995% 14.49 10.25 7.25 6.56 5.92 5.12 4.58 4.18 3.87 3.62 3.42 3.24 3.09 2.96 2.84 2.74 2.65 2.56 2.49 2.42 2.35 2.29
99.9996% 14.64 10.35 7.32 6.63 5.98 5.18 4.63 4.23 3.91 3.66 3.45 3.27 3.12 2.99 2.87 2.77 2.67 2.59 2.51 2.44 2.38 2.31
99.9997% 14.83 10.49 7.41 6.71 6.05 5.24 4.69 4.28 3.96 3.71 3.50 3.32 3.16 3.03 2.91 2.80 2.71 2.62 2.54 2.47 2.41 2.34
99.9998% 15.09 10.67 7.55 6.83 6.16 5.34 4.77 4.36 4.03 3.77 3.56 3.37 3.22 3.08 2.96 2.85 2.76 2.67 2.59 2.52 2.45 2.39
99.9999% 15.53 10.98 7.77 7.03 6.34 5.49 4.91 4.48 4.15 3.88 3.66 3.47 3.31 3.17 3.05 2.93 2.84 2.75 2.66 2.59 2.52 2.46
37
Table 16: Sharpe for various confidence levels and number of periods for monthly periods
(with zero auto-correlation) using Wald test
Skill percentage 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
80% 1.81 1.28 1.05 0.91 0.81 0.74 0.69 0.64 0.60 0.57 0.55 0.52 0.50 0.48 0.47 0.45 0.44 0.43 0.42 0.41
85% 2.04 1.44 1.18 1.02 0.91 0.83 0.77 0.72 0.68 0.64 0.61 0.59 0.56 0.54 0.53 0.51 0.49 0.48 0.47 0.46
90% 2.33 1.64 1.34 1.16 1.04 0.95 0.88 0.82 0.78 0.74 0.70 0.67 0.65 0.62 0.60 0.58 0.56 0.55 0.53 0.52
91% 2.40 1.70 1.38 1.20 1.07 0.98 0.91 0.85 0.80 0.76 0.72 0.69 0.66 0.64 0.62 0.60 0.58 0.57 0.55 0.54
92% 2.48 1.75 1.43 1.24 1.11 1.01 0.94 0.88 0.83 0.78 0.75 0.71 0.69 0.66 0.64 0.62 0.60 0.58 0.57 0.55
93% 2.56 1.81 1.48 1.28 1.15 1.05 0.97 0.91 0.85 0.81 0.77 0.74 0.71 0.68 0.66 0.64 0.62 0.60 0.59 0.57
94% 2.66 1.88 1.54 1.33 1.19 1.09 1.01 0.94 0.89 0.84 0.80 0.77 0.74 0.71 0.69 0.66 0.65 0.63 0.61 0.59
95% 2.77 1.96 1.60 1.39 1.24 1.13 1.05 0.98 0.92 0.88 0.84 0.80 0.77 0.74 0.72 0.69 0.67 0.65 0.64 0.62
96% 2.90 2.05 1.68 1.45 1.30 1.19 1.10 1.03 0.97 0.92 0.88 0.84 0.81 0.78 0.75 0.73 0.70 0.68 0.67 0.65
97% 3.07 2.17 1.77 1.53 1.37 1.25 1.16 1.09 1.02 0.97 0.93 0.89 0.85 0.82 0.79 0.77 0.74 0.72 0.70 0.69
98% 3.29 2.33 1.90 1.64 1.47 1.34 1.24 1.16 1.10 1.04 0.99 0.95 0.91 0.88 0.85 0.82 0.80 0.78 0.75 0.74
99% 3.64 2.58 2.10 1.82 1.63 1.49 1.38 1.29 1.21 1.15 1.10 1.05 1.01 0.97 0.94 0.91 0.88 0.86 0.84 0.81
99.1% 3.69 2.61 2.13 1.85 1.65 1.51 1.40 1.31 1.23 1.17 1.11 1.07 1.02 0.99 0.95 0.92 0.90 0.87 0.85 0.83
99.2% 3.75 2.65 2.17 1.88 1.68 1.53 1.42 1.33 1.25 1.19 1.13 1.08 1.04 1.00 0.97 0.94 0.91 0.88 0.86 0.84
99.3% 3.81 2.70 2.20 1.91 1.71 1.56 1.44 1.35 1.27 1.21 1.15 1.10 1.06 1.02 0.98 0.95 0.93 0.90 0.87 0.85
99.4% 3.89 2.75 2.24 1.94 1.74 1.59 1.47 1.37 1.30 1.23 1.17 1.12 1.08 1.04 1.00 0.97 0.94 0.92 0.89 0.87
99.5% 3.97 2.81 2.29 1.98 1.78 1.62 1.50 1.40 1.32 1.26 1.20 1.15 1.10 1.06 1.02 0.99 0.96 0.94 0.91 0.89
99.6% 4.07 2.88 2.35 2.04 1.82 1.66 1.54 1.44 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.93 0.91
99.7% 4.20 2.97 2.42 2.10 1.88 1.71 1.59 1.48 1.40 1.33 1.27 1.21 1.16 1.12 1.08 1.05 1.02 0.99 0.96 0.94
99.8% 4.37 3.09 2.52 2.19 1.95 1.78 1.65 1.55 1.46 1.38 1.32 1.26 1.21 1.17 1.13 1.09 1.06 1.03 1.00 0.98
99.9% 4.65 3.29 2.69 2.33 2.08 1.90 1.76 1.65 1.55 1.47 1.40 1.34 1.29 1.24 1.20 1.16 1.13 1.10 1.07 1.04
99.91% 4.70 3.32 2.71 2.35 2.10 1.92 1.77 1.66 1.57 1.48 1.42 1.36 1.30 1.25 1.21 1.17 1.14 1.11 1.08 1.05
99.92% 4.74 3.35 2.74 2.37 2.12 1.94 1.79 1.68 1.58 1.50 1.43 1.37 1.32 1.27 1.22 1.19 1.15 1.12 1.09 1.06
99.93% 4.79 3.39 2.77 2.40 2.14 1.96 1.81 1.69 1.60 1.52 1.45 1.38 1.33 1.28 1.24 1.20 1.16 1.13 1.10 1.07
99.94% 4.85 3.43 2.80 2.43 2.17 1.98 1.83 1.72 1.62 1.53 1.46 1.40 1.35 1.30 1.25 1.21 1.18 1.14 1.11 1.09
99.95% 4.92 3.48 2.84 2.46 2.20 2.01 1.86 1.74 1.64 1.56 1.48 1.42 1.37 1.32 1.27 1.23 1.19 1.16 1.13 1.10
99.96% 5.01 3.54 2.89 2.50 2.24 2.04 1.89 1.77 1.67 1.58 1.51 1.45 1.39 1.34 1.29 1.25 1.21 1.18 1.15 1.12
99.97% 5.11 3.62 2.95 2.56 2.29 2.09 1.93 1.81 1.70 1.62 1.54 1.48 1.42 1.37 1.32 1.28 1.24 1.21 1.17 1.14
99.98% 5.26 3.72 3.04 2.63 2.35 2.15 1.99 1.86 1.75 1.66 1.59 1.52 1.46 1.41 1.36 1.31 1.28 1.24 1.21 1.18
99.99% 5.50 3.89 3.18 2.75 2.46 2.25 2.08 1.95 1.83 1.74 1.66 1.59 1.53 1.47 1.42 1.38 1.33 1.30 1.26 1.23
99.991% 5.54 3.92 3.20 2.77 2.48 2.26 2.09 1.96 1.85 1.75 1.67 1.60 1.54 1.48 1.43 1.38 1.34 1.31 1.27 1.24
99.992% 5.58 3.94 3.22 2.79 2.49 2.28 2.11 1.97 1.86 1.76 1.68 1.61 1.55 1.49 1.44 1.39 1.35 1.31 1.28 1.25
99.993% 5.62 3.98 3.25 2.81 2.51 2.30 2.13 1.99 1.87 1.78 1.70 1.62 1.56 1.50 1.45 1.41 1.36 1.33 1.29 1.26
99.994% 5.67 4.01 3.28 2.84 2.54 2.32 2.14 2.01 1.89 1.79 1.71 1.64 1.57 1.52 1.47 1.42 1.38 1.34 1.30 1.27
99.995% 5.74 4.06 3.31 2.87 2.57 2.34 2.17 2.03 1.91 1.81 1.73 1.66 1.59 1.53 1.48 1.43 1.39 1.35 1.32 1.28
99.996% 5.81 4.11 3.35 2.90 2.60 2.37 2.20 2.05 1.94 1.84 1.75 1.68 1.61 1.55 1.50 1.45 1.41 1.37 1.33 1.30
99.997% 5.90 4.17 3.41 2.95 2.64 2.41 2.23 2.09 1.97 1.87 1.78 1.70 1.64 1.58 1.52 1.48 1.43 1.39 1.35 1.32
99.998% 6.03 4.26 3.48 3.02 2.70 2.46 2.28 2.13 2.01 1.91 1.82 1.74 1.67 1.61 1.56 1.51 1.46 1.42 1.38 1.35
99.999% 6.25 4.42 3.61 3.12 2.79 2.55 2.36 2.21 2.08 1.98 1.88 1.80 1.73 1.67 1.61 1.56 1.52 1.47 1.43 1.40
99.9991% 6.28 4.44 3.63 3.14 2.81 2.56 2.37 2.22 2.09 1.99 1.89 1.81 1.74 1.68 1.62 1.57 1.52 1.48 1.44 1.40
99.9992% 6.31 4.47 3.65 3.16 2.82 2.58 2.39 2.23 2.10 2.00 1.90 1.82 1.75 1.69 1.63 1.58 1.53 1.49 1.45 1.41
99.9993% 6.36 4.49 3.67 3.18 2.84 2.59 2.40 2.25 2.12 2.01 1.92 1.83 1.76 1.70 1.64 1.59 1.54 1.50 1.46 1.42
99.9994% 6.40 4.53 3.70 3.20 2.86 2.61 2.42 2.26 2.13 2.02 1.93 1.85 1.78 1.71 1.65 1.60 1.55 1.51 1.47 1.43
99.9995% 6.46 4.56 3.73 3.23 2.89 2.64 2.44 2.28 2.15 2.04 1.95 1.86 1.79 1.73 1.67 1.61 1.57 1.52 1.48 1.44
99.9996% 6.52 4.61 3.77 3.26 2.92 2.66 2.46 2.31 2.17 2.06 1.97 1.88 1.81 1.74 1.68 1.63 1.58 1.54 1.50 1.46
99.9997% 6.61 4.67 3.81 3.30 2.95 2.70 2.50 2.34 2.20 2.09 1.99 1.91 1.83 1.77 1.71 1.65 1.60 1.56 1.52 1.48
99.9998% 6.72 4.75 3.88 3.36 3.01 2.74 2.54 2.38 2.24 2.13 2.03 1.94 1.86 1.80 1.74 1.68 1.63 1.58 1.54 1.50
99.9999% 6.92 4.89 3.99 3.46 3.09 2.82 2.61 2.45 2.31 2.19 2.09 2.00 1.92 1.85 1.79 1.73 1.68 1.63 1.59 1.55
38
Table 17: Sharpe for various confidence level and number of periods for daily periods (with
zero auto-correlation) using Student one-tailed test
80% 2.72 1.91 1.34 1.21 1.09 0.95 0.85 0.77 0.72 0.67 0.63 0.60 0.57 0.55 0.52 0.51 0.49 0.47 0.46 0.45 0.43 0.42
85% 3.36 2.35 1.65 1.50 1.35 1.17 1.04 0.95 0.88 0.82 0.78 0.74 0.70 0.67 0.65 0.62 0.60 0.58 0.56 0.55 0.53 0.52
90% 4.18 2.92 2.05 1.85 1.67 1.44 1.29 1.18 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.74 0.72 0.70 0.68 0.66 0.64
91% 4.38 3.05 2.14 1.94 1.75 1.51 1.35 1.23 1.14 1.07 1.00 0.95 0.91 0.87 0.84 0.81 0.78 0.75 0.73 0.71 0.69 0.67
92% 4.60 3.20 2.25 2.03 1.83 1.58 1.41 1.29 1.19 1.12 1.05 1.00 0.95 0.91 0.88 0.84 0.82 0.79 0.77 0.74 0.72 0.71
93% 4.85 3.37 2.36 2.14 1.92 1.66 1.49 1.36 1.26 1.17 1.11 1.05 1.00 0.96 0.92 0.89 0.86 0.83 0.80 0.78 0.76 0.74
94% 5.12 3.55 2.49 2.25 2.03 1.75 1.57 1.43 1.32 1.24 1.17 1.11 1.05 1.01 0.97 0.93 0.90 0.87 0.85 0.82 0.80 0.78
95% 5.43 3.76 2.64 2.38 2.15 1.85 1.66 1.51 1.40 1.31 1.23 1.17 1.12 1.07 1.03 0.99 0.95 0.92 0.90 0.87 0.85 0.83
96% 5.80 4.01 2.81 2.54 2.28 1.98 1.76 1.61 1.49 1.39 1.31 1.25 1.19 1.14 1.09 1.05 1.02 0.98 0.95 0.93 0.90 0.88
97% 6.27 4.32 3.02 2.73 2.46 2.12 1.90 1.73 1.60 1.50 1.41 1.34 1.28 1.22 1.17 1.13 1.09 1.06 1.03 1.00 0.97 0.95
98% 6.89 4.74 3.30 2.98 2.69 2.32 2.07 1.89 1.75 1.64 1.54 1.46 1.39 1.33 1.28 1.23 1.19 1.15 1.12 1.09 1.06 1.03
99% 7.91 5.40 3.75 3.39 3.05 2.63 2.35 2.14 1.98 1.85 1.75 1.66 1.58 1.51 1.45 1.40 1.35 1.31 1.27 1.23 1.20 1.17
99.1% 8.06 5.50 3.82 3.45 3.10 2.68 2.39 2.18 2.02 1.89 1.78 1.68 1.61 1.54 1.48 1.42 1.37 1.33 1.29 1.25 1.22 1.19
99.2% 8.23 5.60 3.89 3.51 3.16 2.73 2.44 2.22 2.05 1.92 1.81 1.72 1.64 1.57 1.50 1.45 1.40 1.35 1.31 1.28 1.24 1.21
99.3% 8.42 5.72 3.97 3.58 3.22 2.78 2.48 2.27 2.10 1.96 1.85 1.75 1.67 1.60 1.53 1.48 1.43 1.38 1.34 1.30 1.27 1.24
99.4% 8.63 5.86 4.06 3.67 3.30 2.85 2.54 2.32 2.14 2.00 1.89 1.79 1.71 1.63 1.57 1.51 1.46 1.41 1.37 1.33 1.30 1.26
99.5% 8.88 6.02 4.17 3.76 3.38 2.92 2.61 2.38 2.20 2.05 1.94 1.84 1.75 1.67 1.61 1.55 1.50 1.45 1.41 1.37 1.33 1.30
99.6% 9.18 6.21 4.30 3.88 3.48 3.01 2.68 2.45 2.26 2.12 1.99 1.89 1.80 1.72 1.66 1.60 1.54 1.49 1.45 1.41 1.37 1.33
99.7% 9.57 6.45 4.46 4.02 3.61 3.12 2.78 2.54 2.35 2.19 2.07 1.96 1.87 1.79 1.72 1.65 1.60 1.55 1.50 1.46 1.42 1.38
99.8% 10.11 6.78 4.68 4.22 3.79 3.27 2.92 2.66 2.46 2.30 2.17 2.05 1.96 1.87 1.80 1.73 1.67 1.62 1.57 1.53 1.49 1.45
99.9% 11.01 7.33 5.04 4.54 4.08 3.52 3.14 2.86 2.64 2.47 2.33 2.21 2.10 2.01 1.93 1.86 1.80 1.74 1.69 1.64 1.60 1.56
99.91% 11.14 7.41 5.09 4.59 4.12 3.55 3.17 2.89 2.67 2.49 2.35 2.23 2.12 2.03 1.95 1.88 1.82 1.76 1.70 1.66 1.61 1.57
99.92% 11.29 7.50 5.15 4.64 4.17 3.59 3.20 2.92 2.70 2.52 2.38 2.25 2.15 2.05 1.97 1.90 1.84 1.78 1.72 1.68 1.63 1.59
99.93% 11.46 7.60 5.22 4.70 4.22 3.64 3.24 2.96 2.73 2.55 2.41 2.28 2.17 2.08 2.00 1.92 1.86 1.80 1.75 1.70 1.65 1.61
99.94% 11.66 7.72 5.29 4.77 4.28 3.69 3.29 3.00 2.77 2.59 2.44 2.31 2.20 2.11 2.03 1.95 1.88 1.82 1.77 1.72 1.67 1.63
99.95% 11.89 7.86 5.38 4.85 4.35 3.75 3.34 3.05 2.82 2.63 2.48 2.35 2.24 2.14 2.06 1.98 1.91 1.85 1.80 1.75 1.70 1.66
99.96% 12.17 8.02 5.49 4.94 4.44 3.82 3.41 3.10 2.87 2.68 2.53 2.39 2.28 2.18 2.10 2.02 1.95 1.89 1.83 1.78 1.73 1.69
99.97% 12.54 8.24 5.63 5.07 4.55 3.91 3.49 3.18 2.94 2.75 2.59 2.45 2.34 2.24 2.15 2.07 2.00 1.93 1.88 1.82 1.77 1.73
99.98% 13.05 8.53 5.82 5.23 4.69 4.04 3.60 3.28 3.03 2.83 2.67 2.53 2.41 2.31 2.22 2.13 2.06 2.00 1.94 1.88 1.83 1.78
99.99% 13.91 9.03 6.13 5.51 4.94 4.25 3.79 3.45 3.19 2.98 2.81 2.66 2.53 2.43 2.33 2.24 2.17 2.10 2.03 1.98 1.92 1.87
99.991% 14.04 9.10 6.18 5.56 4.98 4.29 3.82 3.48 3.21 3.00 2.83 2.68 2.55 2.44 2.35 2.26 2.18 2.11 2.05 1.99 1.94 1.89
99.992% 14.19 9.18 6.23 5.60 5.02 4.32 3.85 3.50 3.24 3.03 2.85 2.70 2.57 2.46 2.36 2.28 2.20 2.13 2.06 2.01 1.95 1.90
99.993% 14.36 9.28 6.29 5.65 5.07 4.36 3.88 3.54 3.27 3.05 2.87 2.72 2.60 2.48 2.39 2.30 2.22 2.15 2.08 2.02 1.97 1.92
99.994% 14.55 9.38 6.36 5.71 5.12 4.40 3.92 3.57 3.30 3.08 2.90 2.75 2.62 2.51 2.41 2.32 2.24 2.17 2.10 2.04 1.99 1.94
99.995% 14.78 9.51 6.44 5.78 5.18 4.46 3.97 3.61 3.34 3.12 2.94 2.78 2.65 2.54 2.44 2.35 2.27 2.19 2.13 2.07 2.01 1.96
99.996% 15.06 9.66 6.53 5.87 5.26 4.52 4.03 3.67 3.39 3.16 2.98 2.82 2.69 2.57 2.47 2.38 2.30 2.23 2.16 2.10 2.04 1.99
99.997% 15.42 9.86 6.66 5.98 5.35 4.60 4.10 3.73 3.45 3.22 3.03 2.87 2.74 2.62 2.52 2.42 2.34 2.26 2.20 2.13 2.08 2.02
99.998% 15.92 10.13 6.83 6.13 5.49 4.72 4.20 3.82 3.53 3.30 3.10 2.94 2.80 2.68 2.58 2.48 2.40 2.32 2.25 2.18 2.13 2.07
99.999% 16.79 10.60 7.11 6.38 5.71 4.91 4.37 3.97 3.67 3.43 3.23 3.06 2.91 2.79 2.68 2.58 2.49 2.41 2.34 2.27 2.21 2.15
99.9991% 16.93 10.67 7.16 6.42 5.74 4.93 4.39 3.99 3.69 3.45 3.24 3.07 2.93 2.80 2.69 2.59 2.50 2.42 2.35 2.28 2.22 2.16
99.9992% 17.08 10.75 7.20 6.46 5.78 4.96 4.42 4.02 3.71 3.47 3.26 3.09 2.95 2.82 2.71 2.61 2.52 2.44 2.36 2.30 2.23 2.18
99.9993% 17.24 10.83 7.26 6.51 5.82 5.00 4.45 4.05 3.74 3.49 3.29 3.11 2.97 2.84 2.73 2.62 2.53 2.45 2.38 2.31 2.25 2.19
99.9994% 17.44 10.94 7.32 6.56 5.87 5.04 4.49 4.08 3.77 3.52 3.31 3.14 2.99 2.86 2.75 2.65 2.55 2.47 2.40 2.33 2.27 2.21
99.9995% 17.67 11.06 7.39 6.63 5.93 5.09 4.53 4.12 3.80 3.55 3.34 3.17 3.02 2.89 2.77 2.67 2.58 2.50 2.42 2.35 2.29 2.23
99.9996% 17.95 11.20 7.48 6.71 6.00 5.15 4.58 4.17 3.85 3.59 3.38 3.20 3.05 2.92 2.80 2.70 2.61 2.52 2.45 2.38 2.31 2.25
99.9997% 18.32 11.39 7.59 6.81 6.09 5.22 4.64 4.22 3.90 3.64 3.43 3.25 3.09 2.96 2.84 2.74 2.64 2.56 2.48 2.41 2.34 2.28
99.9998% 18.84 11.65 7.75 6.95 6.21 5.32 4.74 4.31 3.98 3.71 3.49 3.31 3.15 3.02 2.90 2.79 2.69 2.61 2.53 2.46 2.39 2.33
99.9999% 19.74 12.10 8.02 7.18 6.41 5.50 4.89 4.44 4.10 3.83 3.60 3.41 3.25 3.11 2.99 2.88 2.78 2.69 2.61 2.53 2.46 2.40
39
Table 18: Sharpe for various confidence level and number of periods for monthly periods
(with zero auto-correlation) using Student one-tailed test
80% 1.30 0.88 0.70 0.61 0.54 0.49 0.45 0.42 0.40 0.38 0.36 0.35 0.33 0.32 0.31 0.30 0.29 0.28 0.27 0.27
85% 1.63 1.09 0.87 0.75 0.67 0.61 0.56 0.52 0.49 0.47 0.45 0.43 0.41 0.39 0.38 0.37 0.36 0.35 0.34 0.33
90% 2.09 1.36 1.09 0.93 0.83 0.75 0.70 0.65 0.61 0.58 0.55 0.53 0.51 0.49 0.47 0.46 0.44 0.43 0.42 0.41
91% 2.20 1.43 1.14 0.98 0.87 0.79 0.73 0.68 0.64 0.61 0.58 0.55 0.53 0.51 0.49 0.48 0.46 0.45 0.44 0.43
92% 2.33 1.51 1.20 1.03 0.91 0.83 0.76 0.71 0.67 0.64 0.61 0.58 0.56 0.54 0.52 0.50 0.49 0.47 0.46 0.45
93% 2.48 1.59 1.26 1.08 0.96 0.87 0.80 0.75 0.71 0.67 0.64 0.61 0.58 0.56 0.54 0.53 0.51 0.50 0.48 0.47
94% 2.65 1.69 1.34 1.14 1.01 0.92 0.85 0.79 0.74 0.71 0.67 0.64 0.62 0.59 0.57 0.55 0.54 0.52 0.51 0.50
95% 2.85 1.80 1.42 1.21 1.07 0.98 0.90 0.84 0.79 0.75 0.71 0.68 0.65 0.63 0.61 0.59 0.57 0.55 0.54 0.52
96% 3.10 1.93 1.52 1.30 1.15 1.04 0.96 0.89 0.84 0.80 0.76 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.56
97% 3.42 2.10 1.65 1.40 1.24 1.12 1.03 0.96 0.91 0.86 0.82 0.78 0.75 0.72 0.70 0.67 0.65 0.63 0.62 0.60
98% 3.90 2.33 1.82 1.54 1.36 1.23 1.13 1.06 0.99 0.94 0.89 0.85 0.82 0.79 0.76 0.74 0.71 0.69 0.67 0.66
99% 4.76 2.72 2.10 1.77 1.56 1.41 1.29 1.20 1.13 1.07 1.02 0.97 0.93 0.90 0.87 0.84 0.81 0.79 0.77 0.75
99.1% 4.90 2.78 2.14 1.80 1.59 1.43 1.32 1.23 1.15 1.09 1.03 0.99 0.95 0.91 0.88 0.85 0.82 0.80 0.78 0.76
99.2% 5.05 2.84 2.18 1.84 1.62 1.46 1.34 1.25 1.17 1.11 1.05 1.01 0.97 0.93 0.90 0.87 0.84 0.82 0.79 0.77
99.3% 5.23 2.92 2.24 1.88 1.65 1.49 1.37 1.28 1.20 1.13 1.08 1.03 0.99 0.95 0.92 0.89 0.86 0.83 0.81 0.79
99.4% 5.44 3.00 2.30 1.93 1.70 1.53 1.41 1.31 1.23 1.16 1.10 1.05 1.01 0.97 0.94 0.91 0.88 0.85 0.83 0.81
99.5% 5.70 3.11 2.37 1.99 1.74 1.57 1.44 1.34 1.26 1.19 1.13 1.08 1.04 1.00 0.96 0.93 0.90 0.87 0.85 0.83
99.6% 6.03 3.23 2.45 2.05 1.80 1.62 1.49 1.39 1.30 1.23 1.17 1.11 1.07 1.03 0.99 0.96 0.93 0.90 0.88 0.85
99.7% 6.46 3.39 2.56 2.14 1.88 1.69 1.55 1.44 1.35 1.27 1.21 1.16 1.11 1.07 1.03 0.99 0.96 0.93 0.91 0.88
99.8% 7.11 3.62 2.72 2.26 1.98 1.78 1.63 1.51 1.42 1.34 1.27 1.21 1.16 1.12 1.08 1.04 1.01 0.98 0.95 0.93
99.9% 8.33 4.02 2.98 2.46 2.15 1.93 1.76 1.64 1.53 1.45 1.37 1.31 1.25 1.21 1.16 1.12 1.09 1.06 1.03 1.00
99.91% 8.53 4.09 3.02 2.49 2.17 1.95 1.78 1.65 1.55 1.46 1.39 1.32 1.27 1.22 1.18 1.14 1.10 1.07 1.04 1.01
99.92% 8.76 4.16 3.06 2.53 2.20 1.98 1.81 1.68 1.57 1.48 1.40 1.34 1.28 1.23 1.19 1.15 1.11 1.08 1.05 1.02
99.93% 9.02 4.24 3.11 2.57 2.23 2.00 1.83 1.70 1.59 1.50 1.42 1.36 1.30 1.25 1.20 1.16 1.13 1.09 1.06 1.03
99.94% 9.33 4.33 3.17 2.61 2.27 2.04 1.86 1.72 1.61 1.52 1.44 1.38 1.32 1.27 1.22 1.18 1.14 1.11 1.08 1.05
99.95% 9.71 4.44 3.24 2.66 2.31 2.07 1.89 1.75 1.64 1.55 1.47 1.40 1.34 1.29 1.24 1.20 1.16 1.13 1.10 1.07
99.96% 10.20 4.57 3.32 2.73 2.37 2.12 1.94 1.79 1.68 1.58 1.50 1.43 1.37 1.32 1.27 1.22 1.19 1.15 1.12 1.09
99.97% 10.85 4.75 3.43 2.81 2.44 2.18 1.99 1.84 1.72 1.62 1.54 1.47 1.40 1.35 1.30 1.26 1.22 1.18 1.15 1.12
99.98% 11.83 5.00 3.58 2.93 2.53 2.26 2.06 1.91 1.78 1.68 1.59 1.52 1.45 1.39 1.34 1.30 1.26 1.22 1.18 1.15
99.99% 13.69 5.45 3.85 3.12 2.69 2.40 2.18 2.02 1.88 1.77 1.68 1.60 1.53 1.47 1.42 1.37 1.32 1.28 1.25 1.21
99.991% 13.99 5.52 3.89 3.15 2.71 2.42 2.20 2.03 1.90 1.79 1.69 1.61 1.54 1.48 1.43 1.38 1.33 1.29 1.26 1.22
99.992% 14.34 5.60 3.94 3.19 2.74 2.44 2.22 2.05 1.92 1.80 1.71 1.63 1.56 1.50 1.44 1.39 1.35 1.30 1.27 1.23
99.993% 14.74 5.69 3.99 3.22 2.77 2.47 2.25 2.07 1.94 1.82 1.73 1.64 1.57 1.51 1.45 1.40 1.36 1.32 1.28 1.24
99.994% 15.22 5.80 4.05 3.27 2.81 2.50 2.27 2.10 1.96 1.84 1.75 1.66 1.59 1.53 1.47 1.42 1.37 1.33 1.29 1.26
99.995% 15.81 5.92 4.12 3.32 2.85 2.53 2.30 2.13 1.98 1.87 1.77 1.68 1.61 1.55 1.49 1.44 1.39 1.35 1.31 1.27
99.996% 16.55 6.08 4.21 3.38 2.90 2.58 2.34 2.16 2.02 1.90 1.80 1.71 1.63 1.57 1.51 1.46 1.41 1.37 1.33 1.29
99.997% 17.56 6.28 4.32 3.46 2.97 2.63 2.39 2.20 2.06 1.93 1.83 1.74 1.67 1.60 1.54 1.49 1.44 1.39 1.35 1.32
99.998% 19.09 6.57 4.48 3.58 3.06 2.71 2.46 2.27 2.11 1.99 1.88 1.79 1.71 1.64 1.58 1.52 1.47 1.43 1.39 1.35
99.999% 21.99 7.10 4.76 3.78 3.22 2.84 2.58 2.37 2.21 2.07 1.96 1.87 1.78 1.71 1.65 1.59 1.54 1.49 1.44 1.41
99.9991% 22.46 7.18 4.81 3.81 3.24 2.86 2.59 2.39 2.22 2.09 1.97 1.88 1.79 1.72 1.66 1.60 1.54 1.50 1.45 1.41
99.9992% 23.01 7.27 4.85 3.84 3.27 2.89 2.61 2.40 2.24 2.10 1.99 1.89 1.81 1.73 1.67 1.61 1.55 1.51 1.46 1.42
99.9993% 23.64 7.38 4.91 3.88 3.30 2.91 2.64 2.42 2.26 2.12 2.00 1.91 1.82 1.75 1.68 1.62 1.57 1.52 1.47 1.43
99.9994% 24.39 7.50 4.97 3.93 3.33 2.94 2.66 2.45 2.28 2.14 2.02 1.92 1.84 1.76 1.69 1.63 1.58 1.53 1.49 1.45
99.9995% 25.31 7.65 5.05 3.98 3.37 2.98 2.69 2.47 2.30 2.16 2.04 1.94 1.85 1.78 1.71 1.65 1.60 1.55 1.50 1.46
99.9996% 26.48 7.83 5.14 4.04 3.42 3.02 2.73 2.51 2.33 2.19 2.07 1.97 1.88 1.80 1.73 1.67 1.61 1.56 1.52 1.48
99.9997% 28.07 8.07 5.27 4.13 3.49 3.07 2.78 2.55 2.37 2.22 2.10 2.00 1.91 1.83 1.76 1.70 1.64 1.59 1.54 1.50
99.9998% 30.46 8.42 5.44 4.25 3.58 3.15 2.84 2.61 2.42 2.27 2.15 2.04 1.95 1.87 1.80 1.73 1.67 1.62 1.57 1.53
99.9999% 35.03 9.04 5.75 4.45 3.74 3.28 2.96 2.71 2.52 2.36 2.23 2.11 2.02 1.93 1.86 1.79 1.73 1.68 1.63 1.58
40
Table 19: Sharpe for various confidence level and number of periods for daily periods (with
zero auto-correlation) using Student two-tailed test
80% 4.18 2.92 2.05 1.85 1.67 1.44 1.29 1.18 1.09 1.02 0.96 0.91 0.87 0.83 0.80 0.77 0.74 0.72 0.70 0.68 0.66 0.64
85% 4.72 3.28 2.30 2.08 1.88 1.62 1.45 1.32 1.22 1.14 1.08 1.02 0.98 0.93 0.90 0.86 0.84 0.81 0.78 0.76 0.74 0.72
90% 5.43 3.76 2.64 2.38 2.15 1.85 1.66 1.51 1.40 1.31 1.23 1.17 1.12 1.07 1.03 0.99 0.95 0.92 0.90 0.87 0.85 0.83
91% 5.61 3.88 2.72 2.46 2.21 1.91 1.71 1.56 1.44 1.35 1.27 1.21 1.15 1.10 1.06 1.02 0.98 0.95 0.92 0.90 0.87 0.85
92% 5.80 4.01 2.81 2.54 2.28 1.98 1.76 1.61 1.49 1.39 1.31 1.25 1.19 1.14 1.09 1.05 1.02 0.98 0.95 0.93 0.90 0.88
93% 6.02 4.16 2.91 2.63 2.37 2.04 1.83 1.67 1.54 1.44 1.36 1.29 1.23 1.18 1.13 1.09 1.05 1.02 0.99 0.96 0.93 0.91
94% 6.27 4.32 3.02 2.73 2.46 2.12 1.90 1.73 1.60 1.50 1.41 1.34 1.28 1.22 1.17 1.13 1.09 1.06 1.03 1.00 0.97 0.95
95% 6.55 4.51 3.15 2.85 2.56 2.21 1.98 1.80 1.67 1.56 1.47 1.39 1.33 1.27 1.22 1.18 1.14 1.10 1.07 1.04 1.01 0.99
96% 6.89 4.74 3.30 2.98 2.69 2.32 2.07 1.89 1.75 1.64 1.54 1.46 1.39 1.33 1.28 1.23 1.19 1.15 1.12 1.09 1.06 1.03
97% 7.32 5.02 3.50 3.16 2.84 2.45 2.19 2.00 1.85 1.73 1.63 1.55 1.47 1.41 1.35 1.30 1.26 1.22 1.18 1.15 1.12 1.09
98% 7.91 5.40 3.75 3.39 3.05 2.63 2.35 2.14 1.98 1.85 1.75 1.66 1.58 1.51 1.45 1.40 1.35 1.31 1.27 1.23 1.20 1.17
99% 8.88 6.02 4.17 3.76 3.38 2.92 2.61 2.38 2.20 2.05 1.94 1.84 1.75 1.67 1.61 1.55 1.50 1.45 1.41 1.37 1.33 1.30
99.1% 9.02 6.11 4.23 3.82 3.43 2.96 2.64 2.41 2.23 2.08 1.96 1.86 1.77 1.70 1.63 1.57 1.52 1.47 1.43 1.39 1.35 1.31
99.2% 9.18 6.21 4.30 3.88 3.48 3.01 2.68 2.45 2.26 2.12 1.99 1.89 1.80 1.72 1.66 1.60 1.54 1.49 1.45 1.41 1.37 1.33
99.3% 9.36 6.32 4.37 3.94 3.54 3.06 2.73 2.49 2.30 2.15 2.03 1.92 1.83 1.75 1.68 1.62 1.57 1.52 1.47 1.43 1.39 1.36
99.4% 9.57 6.45 4.46 4.02 3.61 3.12 2.78 2.54 2.35 2.19 2.07 1.96 1.87 1.79 1.72 1.65 1.60 1.55 1.50 1.46 1.42 1.38
99.5% 9.81 6.60 4.56 4.11 3.69 3.19 2.84 2.59 2.40 2.24 2.11 2.00 1.91 1.83 1.75 1.69 1.63 1.58 1.53 1.49 1.45 1.41
99.6% 10.11 6.78 4.68 4.22 3.79 3.27 2.92 2.66 2.46 2.30 2.17 2.05 1.96 1.87 1.80 1.73 1.67 1.62 1.57 1.53 1.49 1.45
99.7% 10.48 7.01 4.83 4.35 3.91 3.37 3.01 2.74 2.54 2.37 2.23 2.12 2.02 1.93 1.85 1.79 1.73 1.67 1.62 1.57 1.53 1.49
99.8% 11.01 7.33 5.04 4.54 4.08 3.52 3.14 2.86 2.64 2.47 2.33 2.21 2.10 2.01 1.93 1.86 1.80 1.74 1.69 1.64 1.60 1.56
99.9% 11.89 7.86 5.38 4.85 4.35 3.75 3.34 3.05 2.82 2.63 2.48 2.35 2.24 2.14 2.06 1.98 1.91 1.85 1.80 1.75 1.70 1.66
99.91% 12.02 7.94 5.43 4.89 4.39 3.78 3.37 3.07 2.84 2.66 2.50 2.37 2.26 2.16 2.08 2.00 1.93 1.87 1.81 1.76 1.72 1.67
99.92% 12.17 8.02 5.49 4.94 4.44 3.82 3.41 3.10 2.87 2.68 2.53 2.39 2.28 2.18 2.10 2.02 1.95 1.89 1.83 1.78 1.73 1.69
99.93% 12.34 8.12 5.56 5.00 4.49 3.87 3.45 3.14 2.90 2.71 2.55 2.42 2.31 2.21 2.12 2.04 1.97 1.91 1.85 1.80 1.75 1.71
99.94% 12.54 8.24 5.63 5.07 4.55 3.91 3.49 3.18 2.94 2.75 2.59 2.45 2.34 2.24 2.15 2.07 2.00 1.93 1.88 1.82 1.77 1.73
99.95% 12.77 8.37 5.71 5.14 4.61 3.97 3.54 3.23 2.98 2.79 2.62 2.49 2.37 2.27 2.18 2.10 2.03 1.96 1.90 1.85 1.80 1.75
99.96% 13.05 8.53 5.82 5.23 4.69 4.04 3.60 3.28 3.03 2.83 2.67 2.53 2.41 2.31 2.22 2.13 2.06 2.00 1.94 1.88 1.83 1.78
99.97% 13.41 8.74 5.95 5.35 4.80 4.13 3.68 3.35 3.10 2.90 2.73 2.58 2.46 2.36 2.26 2.18 2.11 2.04 1.98 1.92 1.87 1.82
99.98% 13.91 9.03 6.13 5.51 4.94 4.25 3.79 3.45 3.19 2.98 2.81 2.66 2.53 2.43 2.33 2.24 2.17 2.10 2.03 1.98 1.92 1.87
99.99% 14.78 9.51 6.44 5.78 5.18 4.46 3.97 3.61 3.34 3.12 2.94 2.78 2.65 2.54 2.44 2.35 2.27 2.19 2.13 2.07 2.01 1.96
99.991% 14.91 9.58 6.48 5.82 5.22 4.49 4.00 3.64 3.36 3.14 2.96 2.80 2.67 2.56 2.45 2.36 2.28 2.21 2.14 2.08 2.03 1.97
99.992% 15.06 9.66 6.53 5.87 5.26 4.52 4.03 3.67 3.39 3.16 2.98 2.82 2.69 2.57 2.47 2.38 2.30 2.23 2.16 2.10 2.04 1.99
99.993% 15.22 9.75 6.59 5.92 5.30 4.56 4.06 3.70 3.42 3.19 3.00 2.85 2.71 2.60 2.49 2.40 2.32 2.24 2.18 2.11 2.06 2.00
99.994% 15.42 9.86 6.66 5.98 5.35 4.60 4.10 3.73 3.45 3.22 3.03 2.87 2.74 2.62 2.52 2.42 2.34 2.26 2.20 2.13 2.08 2.02
99.995% 15.64 9.98 6.73 6.05 5.41 4.65 4.14 3.77 3.48 3.25 3.06 2.90 2.77 2.65 2.54 2.45 2.36 2.29 2.22 2.16 2.10 2.04
99.996% 15.92 10.13 6.83 6.13 5.49 4.72 4.20 3.82 3.53 3.30 3.10 2.94 2.80 2.68 2.58 2.48 2.40 2.32 2.25 2.18 2.13 2.07
99.997% 16.28 10.33 6.95 6.23 5.58 4.80 4.27 3.88 3.59 3.35 3.16 2.99 2.85 2.73 2.62 2.52 2.43 2.36 2.28 2.22 2.16 2.10
99.998% 16.79 10.60 7.11 6.38 5.71 4.91 4.37 3.97 3.67 3.43 3.23 3.06 2.91 2.79 2.68 2.58 2.49 2.41 2.34 2.27 2.21 2.15
99.999% 17.67 11.06 7.39 6.63 5.93 5.09 4.53 4.12 3.80 3.55 3.34 3.17 3.02 2.89 2.77 2.67 2.58 2.50 2.42 2.35 2.29 2.23
99.9991% 17.80 11.13 7.43 6.66 5.96 5.12 4.55 4.14 3.82 3.57 3.36 3.19 3.03 2.90 2.79 2.68 2.59 2.51 2.43 2.36 2.30 2.24
99.9992% 17.95 11.20 7.48 6.71 6.00 5.15 4.58 4.17 3.85 3.59 3.38 3.20 3.05 2.92 2.80 2.70 2.61 2.52 2.45 2.38 2.31 2.25
99.9993% 18.13 11.29 7.53 6.75 6.04 5.18 4.61 4.19 3.87 3.61 3.40 3.22 3.07 2.94 2.82 2.72 2.62 2.54 2.46 2.39 2.33 2.27
99.9994% 18.32 11.39 7.59 6.81 6.09 5.22 4.64 4.22 3.90 3.64 3.43 3.25 3.09 2.96 2.84 2.74 2.64 2.56 2.48 2.41 2.34 2.28
99.9995% 18.56 11.51 7.67 6.87 6.14 5.27 4.69 4.26 3.93 3.67 3.46 3.28 3.12 2.99 2.87 2.76 2.67 2.58 2.50 2.43 2.36 2.30
99.9996% 18.84 11.65 7.75 6.95 6.21 5.32 4.74 4.31 3.98 3.71 3.49 3.31 3.15 3.02 2.90 2.79 2.69 2.61 2.53 2.46 2.39 2.33
99.9997% 19.21 11.84 7.86 7.04 6.29 5.40 4.80 4.36 4.03 3.76 3.54 3.35 3.19 3.06 2.93 2.83 2.73 2.64 2.56 2.49 2.42 2.36
99.9998% 19.74 12.10 8.02 7.18 6.41 5.50 4.89 4.44 4.10 3.83 3.60 3.41 3.25 3.11 2.99 2.88 2.78 2.69 2.61 2.53 2.46 2.40
99.9999% 20.65 12.55 8.28 7.41 6.62 5.67 5.04 4.58 4.23 3.94 3.71 3.52 3.35 3.20 3.08 2.96 2.86 2.77 2.68 2.61 2.54 2.47
41
Table 20: Sharpe for various confidence level and number of periods for monthly periods
(with zero auto-correlation) using Student two-tailed test
80% 2.09 1.36 1.09 0.93 0.83 0.75 0.70 0.65 0.61 0.58 0.55 0.53 0.51 0.49 0.47 0.46 0.44 0.43 0.42 0.41
85% 2.40 1.55 1.23 1.05 0.94 0.85 0.78 0.73 0.69 0.65 0.62 0.59 0.57 0.55 0.53 0.51 0.50 0.48 0.47 0.46
90% 2.85 1.80 1.42 1.21 1.07 0.98 0.90 0.84 0.79 0.75 0.71 0.68 0.65 0.63 0.61 0.59 0.57 0.55 0.54 0.52
91% 2.97 1.86 1.47 1.25 1.11 1.01 0.93 0.87 0.81 0.77 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.55 0.54
92% 3.10 1.93 1.52 1.30 1.15 1.04 0.96 0.89 0.84 0.80 0.76 0.73 0.70 0.67 0.65 0.63 0.61 0.59 0.57 0.56
93% 3.25 2.01 1.58 1.34 1.19 1.08 0.99 0.93 0.87 0.83 0.79 0.75 0.72 0.69 0.67 0.65 0.63 0.61 0.59 0.58
94% 3.42 2.10 1.65 1.40 1.24 1.12 1.03 0.96 0.91 0.86 0.82 0.78 0.75 0.72 0.70 0.67 0.65 0.63 0.62 0.60
95% 3.64 2.20 1.72 1.46 1.29 1.17 1.08 1.01 0.95 0.89 0.85 0.81 0.78 0.75 0.73 0.70 0.68 0.66 0.64 0.63
96% 3.90 2.33 1.82 1.54 1.36 1.23 1.13 1.06 0.99 0.94 0.89 0.85 0.82 0.79 0.76 0.74 0.71 0.69 0.67 0.66
97% 4.25 2.49 1.93 1.64 1.44 1.31 1.20 1.12 1.05 0.99 0.95 0.90 0.87 0.83 0.81 0.78 0.75 0.73 0.71 0.69
98% 4.76 2.72 2.10 1.77 1.56 1.41 1.29 1.20 1.13 1.07 1.02 0.97 0.93 0.90 0.87 0.84 0.81 0.79 0.77 0.75
99% 5.70 3.11 2.37 1.99 1.74 1.57 1.44 1.34 1.26 1.19 1.13 1.08 1.04 1.00 0.96 0.93 0.90 0.87 0.85 0.83
99.1% 5.85 3.16 2.41 2.02 1.77 1.60 1.47 1.36 1.28 1.21 1.15 1.10 1.05 1.01 0.98 0.94 0.91 0.89 0.86 0.84
99.2% 6.03 3.23 2.45 2.05 1.80 1.62 1.49 1.39 1.30 1.23 1.17 1.11 1.07 1.03 0.99 0.96 0.93 0.90 0.88 0.85
99.3% 6.23 3.31 2.50 2.09 1.84 1.65 1.52 1.41 1.32 1.25 1.19 1.13 1.09 1.05 1.01 0.97 0.94 0.92 0.89 0.87
99.4% 6.46 3.39 2.56 2.14 1.88 1.69 1.55 1.44 1.35 1.27 1.21 1.16 1.11 1.07 1.03 0.99 0.96 0.93 0.91 0.88
99.5% 6.75 3.50 2.63 2.19 1.92 1.73 1.59 1.47 1.38 1.30 1.24 1.18 1.13 1.09 1.05 1.02 0.98 0.96 0.93 0.90
99.6% 7.11 3.62 2.72 2.26 1.98 1.78 1.63 1.51 1.42 1.34 1.27 1.21 1.16 1.12 1.08 1.04 1.01 0.98 0.95 0.93
99.7% 7.60 3.79 2.82 2.35 2.05 1.84 1.69 1.57 1.47 1.38 1.31 1.25 1.20 1.16 1.11 1.08 1.04 1.01 0.98 0.96
99.8% 8.33 4.02 2.98 2.46 2.15 1.93 1.76 1.64 1.53 1.45 1.37 1.31 1.25 1.21 1.16 1.12 1.09 1.06 1.03 1.00
99.9% 9.71 4.44 3.24 2.66 2.31 2.07 1.89 1.75 1.64 1.55 1.47 1.40 1.34 1.29 1.24 1.20 1.16 1.13 1.10 1.07
99.91% 9.94 4.50 3.28 2.69 2.34 2.10 1.91 1.77 1.66 1.56 1.48 1.42 1.35 1.30 1.25 1.21 1.17 1.14 1.11 1.08
99.92% 10.20 4.57 3.32 2.73 2.37 2.12 1.94 1.79 1.68 1.58 1.50 1.43 1.37 1.32 1.27 1.22 1.19 1.15 1.12 1.09
99.93% 10.49 4.65 3.37 2.77 2.40 2.15 1.96 1.81 1.70 1.60 1.52 1.45 1.39 1.33 1.28 1.24 1.20 1.16 1.13 1.10
99.94% 10.85 4.75 3.43 2.81 2.44 2.18 1.99 1.84 1.72 1.62 1.54 1.47 1.40 1.35 1.30 1.26 1.22 1.18 1.15 1.12
99.95% 11.28 4.86 3.50 2.86 2.48 2.21 2.02 1.87 1.75 1.65 1.56 1.49 1.43 1.37 1.32 1.27 1.23 1.20 1.16 1.13
99.96% 11.83 5.00 3.58 2.93 2.53 2.26 2.06 1.91 1.78 1.68 1.59 1.52 1.45 1.39 1.34 1.30 1.26 1.22 1.18 1.15
99.97% 12.57 5.19 3.69 3.01 2.60 2.32 2.11 1.95 1.82 1.72 1.63 1.55 1.49 1.43 1.37 1.33 1.28 1.25 1.21 1.18
99.98% 13.69 5.45 3.85 3.12 2.69 2.40 2.18 2.02 1.88 1.77 1.68 1.60 1.53 1.47 1.42 1.37 1.32 1.28 1.25 1.21
99.99% 15.81 5.92 4.12 3.32 2.85 2.53 2.30 2.13 1.98 1.87 1.77 1.68 1.61 1.55 1.49 1.44 1.39 1.35 1.31 1.27
99.991% 16.16 5.99 4.16 3.35 2.87 2.55 2.32 2.14 2.00 1.88 1.78 1.70 1.62 1.56 1.50 1.45 1.40 1.36 1.32 1.28
99.992% 16.55 6.08 4.21 3.38 2.90 2.58 2.34 2.16 2.02 1.90 1.80 1.71 1.63 1.57 1.51 1.46 1.41 1.37 1.33 1.29
99.993% 17.02 6.17 4.26 3.42 2.93 2.60 2.36 2.18 2.03 1.91 1.81 1.72 1.65 1.58 1.52 1.47 1.42 1.38 1.34 1.30
99.994% 17.56 6.28 4.32 3.46 2.97 2.63 2.39 2.20 2.06 1.93 1.83 1.74 1.67 1.60 1.54 1.49 1.44 1.39 1.35 1.32
99.995% 18.23 6.41 4.39 3.52 3.01 2.67 2.42 2.23 2.08 1.96 1.85 1.76 1.69 1.62 1.56 1.50 1.45 1.41 1.37 1.33
99.996% 19.09 6.57 4.48 3.58 3.06 2.71 2.46 2.27 2.11 1.99 1.88 1.79 1.71 1.64 1.58 1.52 1.47 1.43 1.39 1.35
99.997% 20.24 6.79 4.60 3.66 3.12 2.77 2.51 2.31 2.15 2.02 1.91 1.82 1.74 1.67 1.61 1.55 1.50 1.45 1.41 1.37
99.998% 21.99 7.10 4.76 3.78 3.22 2.84 2.58 2.37 2.21 2.07 1.96 1.87 1.78 1.71 1.65 1.59 1.54 1.49 1.44 1.41
99.999% 25.31 7.65 5.05 3.98 3.37 2.98 2.69 2.47 2.30 2.16 2.04 1.94 1.85 1.78 1.71 1.65 1.60 1.55 1.50 1.46
99.9991% 25.86 7.73 5.09 4.01 3.40 3.00 2.71 2.49 2.32 2.17 2.06 1.95 1.87 1.79 1.72 1.66 1.60 1.55 1.51 1.47
99.9992% 26.48 7.83 5.14 4.04 3.42 3.02 2.73 2.51 2.33 2.19 2.07 1.97 1.88 1.80 1.73 1.67 1.61 1.56 1.52 1.48
99.9993% 27.21 7.94 5.20 4.08 3.46 3.04 2.75 2.53 2.35 2.21 2.08 1.98 1.89 1.81 1.74 1.68 1.63 1.58 1.53 1.49
99.9994% 28.07 8.07 5.27 4.13 3.49 3.07 2.78 2.55 2.37 2.22 2.10 2.00 1.91 1.83 1.76 1.70 1.64 1.59 1.54 1.50
99.9995% 29.12 8.23 5.34 4.18 3.53 3.11 2.81 2.58 2.39 2.25 2.12 2.02 1.93 1.85 1.77 1.71 1.65 1.60 1.56 1.51
99.9996% 30.46 8.42 5.44 4.25 3.58 3.15 2.84 2.61 2.42 2.27 2.15 2.04 1.95 1.87 1.80 1.73 1.67 1.62 1.57 1.53
99.9997% 32.28 8.67 5.57 4.33 3.65 3.21 2.89 2.65 2.46 2.31 2.18 2.07 1.98 1.89 1.82 1.76 1.70 1.64 1.60 1.55
99.9998% 35.03 9.04 5.75 4.45 3.74 3.28 2.96 2.71 2.52 2.36 2.23 2.11 2.02 1.93 1.86 1.79 1.73 1.68 1.63 1.58
99.9999% 40.27 9.70 6.06 4.66 3.90 3.41 3.07 2.81 2.61 2.44 2.30 2.19 2.09 2.00 1.92 1.85 1.79 1.73 1.68 1.63
42
9.4. Percentage of skill for a given level of Sharpe ratio
Table 21: Skill percentage for a Sharpe ratio of 0.5 for daily periods under various auto-
correlation assumptions under Wald assumptions (two-tailed test)
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 3% 4% 6% 7% 8% 9% 10% 11% 12% 12% 13% 14% 14% 15% 15% 16% 16% 17% 17% 18% 18%
-80% 4% 6% 8% 10% 12% 13% 15% 16% 17% 18% 19% 20% 20% 21% 22% 23% 24% 24% 25% 26% 26%
-70% 5% 7% 11% 13% 15% 17% 18% 20% 21% 22% 23% 24% 26% 27% 28% 28% 29% 30% 31% 32% 33%
-60% 6% 9% 13% 15% 18% 20% 22% 23% 25% 26% 28% 29% 30% 31% 32% 33% 35% 36% 36% 37% 38%
-50% 7% 10% 14% 18% 20% 23% 25% 27% 28% 30% 32% 33% 34% 36% 37% 38% 39% 40% 42% 43% 44%
-40% 8% 12% 16% 20% 23% 26% 28% 30% 32% 34% 36% 37% 39% 40% 42% 43% 44% 45% 46% 48% 49%
-30% 9% 13% 18% 22% 26% 29% 31% 33% 36% 38% 40% 41% 43% 44% 46% 47% 49% 50% 51% 52% 54%
-20% 10% 14% 20% 25% 28% 32% 34% 37% 39% 41% 44% 45% 47% 49% 50% 52% 53% 55% 56% 57% 58%
-10% 11% 16% 22% 27% 31% 35% 38% 41% 43% 45% 48% 50% 51% 53% 55% 56% 58% 59% 61% 62% 63%
0% 13% 18% 25% 30% 34% 38% 41% 44% 47% 50% 52% 54% 56% 58% 60% 61% 63% 64% 66% 67% 68%
10% 14% 19% 27% 33% 38% 42% 45% 49% 51% 54% 56% 59% 61% 63% 64% 66% 68% 69% 70% 72% 73%
20% 15% 21% 30% 36% 41% 46% 50% 53% 56% 59% 61% 63% 65% 67% 69% 71% 72% 74% 75% 77% 78%
30% 17% 24% 33% 40% 46% 50% 54% 58% 61% 64% 66% 69% 71% 73% 74% 76% 77% 79% 80% 81% 82%
40% 19% 27% 37% 44% 50% 55% 59% 63% 66% 69% 72% 74% 76% 78% 80% 81% 83% 84% 85% 86% 87%
50% 21% 30% 41% 49% 56% 61% 65% 69% 72% 75% 78% 80% 82% 83% 85% 86% 88% 89% 90% 91% 91%
60% 25% 34% 47% 56% 63% 68% 72% 76% 79% 82% 84% 86% 88% 89% 90% 91% 92% 93% 94% 95% 95%
70% 29% 40% 54% 64% 71% 76% 80% 84% 86% 89% 90% 92% 93% 94% 95% 96% 97% 97% 97% 98% 98%
80% 36% 49% 65% 75% 81% 86% 90% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100%
90% 50% 66% 82% 90% 94% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
Table 22: Skill percentage for a Sharpe ratio of 0.5 for monthly periods under various
auto-correlation assumptions under Wald assumptions (two-tailed test)
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 8% 11% 14% 16% 18% 20% 21% 23% 24% 25% 26% 27% 29% 30% 31% 32% 32% 33% 34% 35%
-80% 11% 15% 19% 22% 24% 26% 28% 30% 32% 33% 35% 36% 38% 39% 40% 42% 43% 44% 45% 46%
-70% 13% 18% 22% 26% 29% 31% 34% 36% 38% 40% 41% 43% 45% 46% 48% 49% 50% 51% 53% 54%
-60% 15% 21% 26% 30% 33% 36% 38% 41% 43% 45% 47% 49% 51% 52% 54% 55% 57% 58% 59% 60%
-50% 17% 24% 29% 33% 37% 40% 43% 46% 48% 50% 52% 54% 56% 58% 60% 61% 62% 64% 65% 66%
-40% 19% 27% 32% 37% 41% 44% 48% 50% 53% 55% 57% 60% 61% 63% 65% 66% 68% 69% 71% 72%
-30% 21% 29% 36% 41% 45% 49% 52% 55% 58% 60% 62% 64% 66% 68% 70% 71% 73% 74% 75% 77%
-20% 23% 32% 39% 44% 49% 53% 56% 59% 62% 65% 67% 69% 71% 73% 74% 76% 77% 79% 80% 81%
-10% 25% 35% 42% 48% 53% 57% 61% 64% 67% 69% 72% 74% 76% 77% 79% 80% 82% 83% 84% 85%
0% 28% 38% 46% 52% 57% 61% 65% 68% 71% 74% 76% 78% 80% 81% 83% 84% 86% 87% 88% 89%
10% 30% 42% 50% 56% 61% 66% 69% 73% 76% 78% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92%
20% 33% 45% 54% 61% 66% 70% 74% 77% 80% 82% 84% 86% 87% 89% 90% 91% 92% 93% 94% 94%
30% 36% 49% 58% 65% 71% 75% 78% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 95% 96% 96%
40% 40% 54% 63% 70% 75% 80% 83% 86% 88% 90% 91% 93% 94% 95% 96% 96% 97% 97% 98% 98%
50% 44% 59% 68% 75% 80% 84% 87% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 99% 99% 99%
60% 48% 64% 74% 81% 85% 89% 91% 93% 95% 96% 97% 98% 98% 98% 99% 99% 99% 99% 100% 100%
70% 54% 71% 80% 86% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
80% 61% 78% 86% 91% 95% 96% 98% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 69% 85% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
43
correlation assumptions under Student assumptions (one-tailed test)
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 51% 52% 53% 54% 54% 55% 55% 55% 56% 56% 57% 57% 57% 57% 58% 58% 58% 58% 59% 59% 59%
-80% 52% 53% 54% 55% 56% 57% 57% 58% 58% 59% 59% 60% 60% 61% 61% 61% 62% 62% 62% 63% 63%
-70% 53% 54% 55% 56% 57% 58% 59% 60% 60% 61% 62% 62% 63% 63% 64% 64% 65% 65% 66% 66% 66%
-60% 53% 54% 56% 58% 59% 60% 61% 62% 62% 63% 64% 64% 65% 66% 66% 67% 67% 68% 68% 69% 69%
-50% 54% 55% 57% 59% 60% 61% 62% 63% 64% 65% 66% 67% 67% 68% 69% 69% 70% 70% 71% 71% 72%
-40% 54% 56% 58% 60% 61% 63% 64% 65% 66% 67% 68% 69% 69% 70% 71% 71% 72% 73% 73% 74% 74%
-30% 55% 56% 59% 61% 63% 64% 66% 67% 68% 69% 70% 71% 71% 72% 73% 74% 74% 75% 76% 76% 77%
-20% 55% 57% 60% 62% 64% 66% 67% 68% 70% 71% 72% 73% 74% 74% 75% 76% 77% 77% 78% 79% 79%
-10% 56% 58% 61% 64% 66% 67% 69% 70% 72% 73% 74% 75% 76% 77% 77% 78% 79% 80% 80% 81% 82%
0% 56% 59% 62% 65% 67% 69% 71% 72% 74% 75% 76% 77% 78% 79% 80% 81% 81% 82% 83% 83% 84%
10% 57% 60% 64% 66% 69% 71% 73% 74% 76% 77% 78% 79% 80% 81% 82% 83% 84% 84% 85% 86% 86%
20% 58% 61% 65% 68% 71% 73% 75% 76% 78% 79% 81% 82% 83% 84% 85% 85% 86% 87% 88% 88% 89%
30% 58% 62% 67% 70% 73% 75% 77% 79% 80% 82% 83% 84% 85% 86% 87% 88% 89% 89% 90% 91% 91%
40% 59% 63% 68% 72% 75% 78% 80% 82% 83% 85% 86% 87% 88% 89% 90% 91% 91% 92% 92% 93% 94%
50% 61% 65% 71% 75% 78% 80% 83% 85% 86% 88% 89% 90% 91% 92% 92% 93% 94% 94% 95% 95% 96%
60% 62% 67% 73% 78% 81% 84% 86% 88% 89% 91% 92% 93% 94% 94% 95% 96% 96% 97% 97% 97% 98%
70% 64% 70% 77% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99% 99% 99% 99%
80% 68% 74% 82% 87% 91% 93% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100% 100% 100%
90% 75% 83% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
44
auto-correlation assumptions under Student assumptions (one-tailed test)
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 54% 56% 57% 58% 59% 60% 61% 61% 62% 63% 63% 64% 64% 65% 65% 66% 66% 67% 67% 67%
-80% 55% 57% 59% 61% 62% 63% 64% 65% 66% 67% 67% 68% 69% 69% 70% 71% 71% 72% 72% 73%
-70% 56% 59% 61% 63% 64% 66% 67% 68% 69% 70% 71% 71% 72% 73% 74% 74% 75% 76% 76% 77%
-60% 57% 60% 63% 65% 66% 68% 69% 70% 71% 72% 73% 74% 75% 76% 77% 78% 78% 79% 80% 80%
-50% 58% 62% 64% 66% 68% 70% 71% 73% 74% 75% 76% 77% 78% 79% 80% 80% 81% 82% 82% 83%
-40% 59% 63% 66% 68% 70% 72% 74% 75% 76% 77% 79% 80% 81% 81% 82% 83% 84% 85% 85% 86%
-30% 60% 64% 67% 70% 72% 74% 76% 77% 79% 80% 81% 82% 83% 84% 85% 86% 86% 87% 88% 88%
-20% 61% 66% 69% 72% 74% 76% 78% 79% 81% 82% 83% 84% 85% 86% 87% 88% 89% 89% 90% 90%
-10% 62% 67% 71% 74% 76% 78% 80% 82% 83% 84% 86% 87% 88% 88% 89% 90% 91% 91% 92% 92%
0% 63% 69% 73% 76% 78% 80% 82% 84% 85% 87% 88% 89% 90% 91% 91% 92% 93% 93% 94% 94%
10% 64% 70% 74% 78% 80% 83% 84% 86% 87% 89% 90% 91% 92% 92% 93% 94% 94% 95% 95% 96%
20% 66% 72% 76% 80% 83% 85% 87% 88% 90% 91% 92% 93% 94% 94% 95% 95% 96% 96% 97% 97%
30% 67% 74% 79% 82% 85% 87% 89% 90% 92% 93% 94% 95% 95% 96% 96% 97% 97% 98% 98% 98%
40% 69% 76% 81% 84% 87% 89% 91% 93% 94% 95% 95% 96% 97% 97% 98% 98% 98% 98% 99% 99%
50% 71% 78% 83% 87% 90% 92% 93% 95% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99% 99% 99%
60% 73% 81% 86% 90% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100% 100%
70% 75% 84% 89% 92% 95% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
80% 79% 87% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 82% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
correlation assumptions under Student assumptions (two-tailed test)
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 3% 4% 6% 7% 8% 9% 10% 11% 12% 12% 13% 14% 14% 15% 15% 16% 16% 17% 17% 18% 18%
-80% 4% 6% 8% 10% 12% 13% 15% 16% 17% 18% 19% 20% 20% 21% 22% 23% 24% 24% 25% 26% 26%
-70% 5% 7% 11% 13% 15% 17% 18% 20% 21% 22% 23% 24% 26% 27% 28% 28% 29% 30% 31% 32% 33%
-60% 6% 9% 13% 15% 18% 20% 22% 23% 25% 26% 28% 29% 30% 31% 32% 33% 35% 35% 36% 37% 38%
-50% 7% 10% 14% 18% 20% 23% 25% 27% 28% 30% 32% 33% 34% 36% 37% 38% 39% 40% 42% 43% 44%
-40% 8% 12% 16% 20% 23% 26% 28% 30% 32% 34% 36% 37% 39% 40% 42% 43% 44% 45% 46% 48% 49%
-30% 9% 13% 18% 22% 26% 29% 31% 33% 36% 38% 39% 41% 43% 44% 46% 47% 49% 50% 51% 52% 54%
-20% 10% 14% 20% 25% 28% 32% 34% 37% 39% 41% 43% 45% 47% 49% 50% 52% 53% 55% 56% 57% 58%
-10% 11% 16% 22% 27% 31% 35% 38% 41% 43% 45% 48% 50% 51% 53% 55% 56% 58% 59% 61% 62% 63%
0% 12% 18% 25% 30% 34% 38% 41% 44% 47% 50% 52% 54% 56% 58% 60% 61% 63% 64% 66% 67% 68%
10% 14% 19% 27% 33% 38% 42% 45% 48% 51% 54% 56% 59% 61% 62% 64% 66% 67% 69% 70% 72% 73%
20% 15% 21% 30% 36% 41% 46% 50% 53% 56% 59% 61% 63% 65% 67% 69% 71% 72% 74% 75% 76% 78%
30% 17% 24% 33% 40% 45% 50% 54% 58% 61% 64% 66% 68% 71% 73% 74% 76% 77% 79% 80% 81% 82%
40% 19% 26% 37% 44% 50% 55% 59% 63% 66% 69% 72% 74% 76% 78% 80% 81% 83% 84% 85% 86% 87%
50% 21% 30% 41% 49% 56% 61% 65% 69% 72% 75% 78% 80% 82% 83% 85% 86% 88% 89% 90% 91% 91%
60% 24% 34% 47% 56% 62% 68% 72% 76% 79% 82% 84% 86% 88% 89% 90% 91% 92% 93% 94% 95% 95%
70% 29% 40% 54% 64% 71% 76% 80% 84% 86% 89% 90% 92% 93% 94% 95% 96% 96% 97% 97% 98% 98%
80% 36% 49% 65% 75% 81% 86% 89% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100%
90% 49% 65% 82% 90% 94% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
45
auto-correlation assumptions under Student assumptions (two-tailed test)
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 8% 11% 14% 16% 18% 19% 21% 22% 24% 25% 26% 27% 28% 29% 30% 31% 32% 33% 34% 35%
-80% 10% 15% 18% 21% 24% 26% 28% 30% 32% 33% 35% 36% 38% 39% 40% 41% 43% 44% 45% 46%
-70% 12% 18% 22% 25% 28% 31% 33% 36% 38% 39% 41% 43% 44% 46% 47% 49% 50% 51% 52% 54%
-60% 14% 21% 25% 29% 33% 36% 38% 41% 43% 45% 47% 49% 50% 52% 54% 55% 56% 58% 59% 60%
-50% 16% 23% 29% 33% 37% 40% 43% 45% 48% 50% 52% 54% 56% 58% 59% 61% 62% 64% 65% 66%
-40% 18% 26% 32% 36% 41% 44% 47% 50% 53% 55% 57% 59% 61% 63% 65% 66% 68% 69% 70% 72%
-30% 20% 29% 35% 40% 44% 48% 52% 55% 57% 60% 62% 64% 66% 68% 70% 71% 73% 74% 75% 76%
-20% 22% 31% 38% 44% 48% 52% 56% 59% 62% 64% 67% 69% 71% 72% 74% 76% 77% 78% 80% 81%
-10% 24% 34% 42% 47% 52% 57% 60% 63% 66% 69% 71% 73% 75% 77% 79% 80% 81% 83% 84% 85%
0% 26% 37% 45% 51% 56% 61% 64% 68% 71% 73% 75% 78% 79% 81% 83% 84% 85% 86% 87% 88%
10% 29% 41% 49% 55% 61% 65% 69% 72% 75% 77% 80% 82% 83% 85% 86% 88% 89% 90% 91% 91%
20% 31% 44% 53% 60% 65% 70% 73% 77% 79% 82% 84% 86% 87% 88% 90% 91% 92% 93% 93% 94%
30% 34% 48% 57% 64% 70% 74% 78% 81% 83% 86% 87% 89% 90% 92% 93% 94% 94% 95% 96% 96%
40% 37% 52% 62% 69% 74% 79% 82% 85% 87% 89% 91% 92% 93% 94% 95% 96% 96% 97% 97% 98%
50% 41% 57% 67% 74% 79% 83% 87% 89% 91% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99% 99%
60% 46% 62% 72% 79% 84% 88% 91% 93% 94% 96% 97% 97% 98% 98% 99% 99% 99% 99% 99% 100%
70% 51% 68% 78% 85% 89% 92% 94% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
80% 57% 75% 84% 90% 94% 96% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 64% 82% 90% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
46
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 6% 8% 12% 14% 16% 18% 20% 22% 23% 25% 26% 27% 28% 29% 30% 31% 32% 33% 34% 35% 36%
-80% 8% 12% 17% 20% 24% 26% 29% 31% 33% 35% 36% 38% 40% 41% 42% 44% 45% 46% 47% 49% 50%
-70% 11% 15% 21% 26% 29% 33% 36% 38% 41% 43% 45% 47% 49% 50% 52% 53% 55% 56% 58% 59% 60%
-60% 13% 18% 25% 30% 35% 38% 42% 45% 47% 50% 52% 54% 56% 58% 60% 61% 63% 64% 66% 67% 68%
-50% 14% 20% 28% 34% 39% 44% 47% 50% 53% 56% 59% 61% 63% 65% 67% 68% 70% 71% 73% 74% 75%
-40% 16% 23% 32% 39% 44% 49% 53% 56% 59% 62% 64% 67% 69% 71% 73% 74% 76% 77% 78% 80% 81%
-30% 18% 26% 36% 43% 49% 54% 58% 61% 65% 67% 70% 72% 74% 76% 78% 80% 81% 82% 84% 85% 86%
-20% 20% 28% 39% 47% 53% 58% 63% 66% 70% 73% 75% 77% 79% 81% 83% 84% 85% 87% 88% 89% 90%
-10% 22% 31% 43% 51% 58% 63% 68% 71% 75% 77% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92% 93%
0% 25% 34% 47% 56% 63% 68% 72% 76% 79% 82% 84% 86% 88% 89% 90% 92% 93% 93% 94% 95% 95%
10% 27% 38% 51% 61% 68% 73% 77% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 96% 96% 97% 97%
20% 30% 41% 56% 65% 72% 78% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99%
30% 33% 46% 61% 71% 77% 82% 86% 89% 91% 93% 94% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99%
40% 37% 50% 66% 76% 83% 87% 90% 93% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100%
50% 41% 56% 72% 82% 88% 91% 94% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
60% 47% 63% 79% 88% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 54% 71% 86% 93% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 65% 81% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 82% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
47
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 16% 23% 27% 32% 35% 38% 41% 43% 46% 48% 50% 52% 54% 55% 57% 58% 60% 61% 62% 64%
-80% 22% 30% 36% 42% 46% 50% 53% 56% 59% 61% 64% 66% 68% 69% 71% 73% 74% 75% 77% 78%
-70% 26% 36% 43% 49% 54% 58% 62% 65% 68% 70% 72% 75% 76% 78% 80% 81% 82% 84% 85% 86%
-60% 30% 41% 49% 55% 60% 65% 69% 72% 75% 77% 79% 81% 83% 85% 86% 87% 88% 89% 90% 91%
-50% 33% 46% 54% 61% 66% 71% 75% 78% 80% 83% 85% 86% 88% 89% 90% 91% 92% 93% 94% 95%
-40% 37% 50% 60% 66% 72% 76% 80% 83% 85% 87% 89% 90% 92% 93% 94% 95% 95% 96% 96% 97%
-30% 41% 55% 64% 71% 77% 81% 84% 87% 89% 91% 92% 94% 95% 95% 96% 97% 97% 98% 98% 98%
-20% 44% 59% 69% 76% 81% 85% 88% 90% 92% 94% 95% 96% 97% 97% 98% 98% 98% 99% 99% 99%
-10% 48% 64% 74% 80% 85% 89% 91% 93% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100%
0% 52% 68% 78% 84% 89% 92% 94% 95% 97% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
10% 56% 73% 82% 88% 92% 94% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
20% 61% 77% 86% 91% 94% 96% 98% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 65% 81% 90% 94% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 70% 86% 93% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 75% 90% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 81% 93% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 86% 96% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 91% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 53% 54% 56% 57% 58% 59% 60% 61% 62% 62% 63% 63% 64% 65% 65% 66% 66% 67% 67% 67% 68%
-80% 54% 56% 58% 60% 62% 63% 64% 65% 66% 67% 68% 69% 70% 71% 71% 72% 73% 73% 74% 74% 75%
-70% 55% 57% 60% 63% 65% 66% 68% 69% 70% 71% 72% 73% 74% 75% 76% 77% 77% 78% 79% 79% 80%
-60% 56% 59% 62% 65% 67% 69% 71% 72% 74% 75% 76% 77% 78% 79% 80% 81% 81% 82% 83% 83% 84%
-50% 57% 60% 64% 67% 70% 72% 74% 75% 77% 78% 79% 80% 81% 82% 83% 84% 85% 86% 86% 87% 88%
-40% 58% 61% 66% 69% 72% 74% 76% 78% 80% 81% 82% 83% 84% 85% 86% 87% 88% 89% 89% 90% 90%
-30% 59% 63% 68% 71% 74% 77% 79% 81% 82% 84% 85% 86% 87% 88% 89% 90% 90% 91% 92% 92% 93%
-20% 60% 64% 70% 74% 77% 79% 81% 83% 85% 86% 87% 89% 90% 91% 91% 92% 93% 93% 94% 94% 95%
-10% 61% 66% 72% 76% 79% 82% 84% 86% 87% 89% 90% 91% 92% 93% 93% 94% 95% 95% 96% 96% 96%
0% 62% 67% 73% 78% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 95% 96% 96% 97% 97% 97% 98%
10% 63% 69% 76% 80% 84% 86% 89% 90% 92% 93% 94% 95% 96% 96% 97% 97% 98% 98% 98% 98% 99%
20% 65% 71% 78% 83% 86% 89% 91% 92% 94% 95% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99% 99%
30% 66% 73% 80% 85% 89% 91% 93% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 99% 99% 100% 100%
40% 68% 75% 83% 88% 91% 93% 95% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
50% 70% 78% 86% 91% 94% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 73% 81% 89% 94% 96% 98% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 77% 85% 93% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 82% 90% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 90% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
48
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 58% 61% 64% 66% 67% 69% 70% 72% 73% 74% 75% 76% 77% 78% 78% 79% 80% 80% 81% 82%
-80% 60% 65% 68% 71% 73% 75% 76% 78% 79% 80% 82% 83% 84% 85% 85% 86% 87% 88% 88% 89%
-70% 62% 67% 71% 74% 77% 79% 81% 82% 84% 85% 86% 87% 88% 89% 90% 90% 91% 92% 92% 93%
-60% 64% 70% 74% 77% 80% 82% 84% 86% 87% 88% 89% 90% 91% 92% 93% 93% 94% 95% 95% 95%
-50% 66% 72% 77% 80% 83% 85% 87% 89% 90% 91% 92% 93% 94% 94% 95% 96% 96% 96% 97% 97%
-40% 67% 74% 79% 83% 85% 88% 89% 91% 92% 93% 94% 95% 96% 96% 97% 97% 97% 98% 98% 98%
-30% 69% 77% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 98% 99% 99% 99%
-20% 71% 79% 84% 87% 90% 92% 94% 95% 96% 97% 97% 98% 98% 98% 99% 99% 99% 99% 99% 100%
-10% 73% 81% 86% 90% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100% 100%
0% 74% 83% 88% 91% 94% 95% 97% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
10% 76% 85% 90% 93% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 78% 87% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 80% 89% 94% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 83% 91% 95% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 85% 93% 97% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 87% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 90% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 93% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 6% 8% 12% 14% 16% 18% 20% 22% 23% 25% 26% 27% 28% 29% 30% 31% 32% 33% 34% 35% 36%
-80% 8% 12% 17% 20% 24% 26% 29% 31% 33% 35% 36% 38% 40% 41% 42% 44% 45% 46% 47% 49% 50%
-70% 10% 15% 21% 26% 29% 33% 35% 38% 41% 43% 45% 47% 49% 50% 52% 53% 55% 56% 58% 59% 60%
-60% 12% 18% 25% 30% 34% 38% 42% 45% 47% 50% 52% 54% 56% 58% 60% 61% 63% 64% 66% 67% 68%
-50% 14% 20% 28% 34% 39% 44% 47% 50% 53% 56% 58% 61% 63% 65% 67% 68% 70% 71% 73% 74% 75%
-40% 16% 23% 32% 39% 44% 49% 53% 56% 59% 62% 64% 67% 69% 71% 73% 74% 76% 77% 78% 80% 81%
-30% 18% 26% 36% 43% 49% 54% 58% 61% 64% 67% 70% 72% 74% 76% 78% 79% 81% 82% 83% 85% 86%
-20% 20% 28% 39% 47% 53% 58% 63% 66% 70% 72% 75% 77% 79% 81% 83% 84% 85% 87% 88% 89% 90%
-10% 22% 31% 43% 51% 58% 63% 68% 71% 75% 77% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92% 93%
0% 24% 34% 47% 56% 63% 68% 72% 76% 79% 82% 84% 86% 88% 89% 90% 92% 92% 93% 94% 95% 95%
10% 27% 38% 51% 60% 67% 73% 77% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 96% 96% 97% 97%
20% 30% 41% 56% 65% 72% 78% 82% 85% 88% 90% 91% 93% 94% 95% 96% 96% 97% 98% 98% 98% 99%
30% 33% 45% 61% 70% 77% 82% 86% 89% 91% 93% 94% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99%
40% 36% 50% 66% 76% 82% 87% 90% 93% 94% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100%
50% 41% 55% 72% 82% 87% 91% 94% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
60% 46% 62% 79% 87% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 54% 70% 86% 93% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 64% 81% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 81% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
49
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 15% 22% 27% 31% 35% 38% 41% 43% 45% 48% 50% 52% 53% 55% 57% 58% 60% 61% 62% 63%
-80% 20% 29% 36% 41% 45% 49% 53% 56% 58% 61% 63% 65% 67% 69% 71% 72% 74% 75% 76% 78%
-70% 24% 35% 42% 48% 53% 57% 61% 64% 67% 70% 72% 74% 76% 78% 79% 81% 82% 83% 85% 86%
-60% 28% 40% 48% 55% 60% 64% 68% 71% 74% 77% 79% 81% 83% 84% 86% 87% 88% 89% 90% 91%
-50% 32% 44% 53% 60% 66% 70% 74% 77% 80% 82% 84% 86% 88% 89% 90% 91% 92% 93% 94% 94%
-40% 35% 49% 58% 65% 71% 75% 79% 82% 85% 87% 88% 90% 91% 92% 93% 94% 95% 96% 96% 97%
-30% 38% 53% 63% 70% 76% 80% 83% 86% 88% 90% 92% 93% 94% 95% 96% 96% 97% 97% 98% 98%
-20% 42% 58% 68% 75% 80% 84% 87% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 99% 99% 99%
-10% 45% 62% 72% 79% 84% 88% 90% 93% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100%
0% 49% 66% 76% 83% 88% 91% 93% 95% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100%
10% 53% 70% 80% 87% 91% 93% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
20% 57% 75% 84% 90% 93% 96% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 61% 79% 88% 93% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 65% 83% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 70% 87% 94% 97% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 75% 91% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 80% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 85% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 90% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 9% 12% 17% 21% 25% 27% 30% 32% 34% 36% 38% 40% 41% 43% 44% 45% 47% 48% 49% 50% 51%
-80% 13% 18% 25% 30% 35% 38% 42% 45% 47% 50% 52% 54% 56% 58% 60% 62% 63% 65% 66% 67% 68%
-70% 16% 22% 31% 38% 43% 47% 51% 54% 58% 60% 63% 65% 67% 69% 71% 73% 74% 76% 77% 78% 79%
-60% 19% 26% 36% 44% 50% 55% 59% 63% 66% 69% 71% 73% 75% 77% 79% 81% 82% 83% 85% 86% 87%
-50% 22% 30% 42% 50% 56% 61% 66% 69% 73% 75% 78% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92%
-40% 24% 34% 46% 55% 62% 67% 72% 75% 78% 81% 83% 85% 87% 89% 90% 91% 92% 93% 94% 94% 95%
-30% 27% 38% 51% 60% 67% 73% 77% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 96% 96% 97% 97%
-20% 30% 41% 56% 66% 73% 78% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99%
-10% 33% 45% 61% 70% 77% 82% 86% 89% 91% 93% 94% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99%
0% 36% 50% 66% 75% 82% 86% 90% 92% 94% 95% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100%
10% 40% 54% 70% 80% 86% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
20% 44% 59% 75% 84% 90% 93% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 48% 64% 80% 88% 93% 96% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 53% 69% 85% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 59% 75% 90% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 65% 82% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 74% 89% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 84% 95% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 24% 33% 40% 46% 50% 54% 58% 61% 64% 66% 69% 71% 73% 75% 76% 78% 79% 80% 82% 83%
-80% 32% 44% 52% 59% 64% 68% 72% 75% 78% 81% 83% 84% 86% 88% 89% 90% 91% 92% 93% 93%
-70% 38% 51% 61% 68% 73% 77% 81% 84% 86% 88% 90% 91% 92% 94% 94% 95% 96% 96% 97% 97%
-60% 43% 58% 68% 75% 80% 84% 87% 89% 91% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99% 99%
-50% 48% 64% 74% 80% 85% 89% 91% 93% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100%
-40% 53% 69% 79% 85% 89% 92% 94% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
-30% 58% 74% 83% 89% 93% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
-20% 62% 79% 87% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 67% 83% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 71% 87% 93% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 76% 90% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 80% 93% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 84% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 88% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 92% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 54% 56% 59% 61% 62% 64% 65% 66% 67% 68% 69% 70% 71% 71% 72% 73% 73% 74% 75% 75% 76%
-80% 56% 59% 62% 65% 67% 69% 71% 72% 74% 75% 76% 77% 78% 79% 80% 81% 82% 82% 83% 84% 84%
-70% 58% 61% 65% 69% 71% 74% 76% 77% 79% 80% 81% 83% 84% 85% 85% 86% 87% 88% 88% 89% 90%
-60% 59% 63% 68% 72% 75% 77% 79% 81% 83% 84% 86% 87% 88% 89% 89% 90% 91% 92% 92% 93% 93%
-50% 61% 65% 71% 75% 78% 81% 83% 85% 86% 88% 89% 90% 91% 92% 93% 93% 94% 94% 95% 95% 96%
-40% 62% 67% 73% 78% 81% 84% 86% 88% 89% 91% 92% 93% 94% 94% 95% 95% 96% 96% 97% 97% 97%
-30% 63% 69% 76% 80% 84% 86% 88% 90% 92% 93% 94% 95% 96% 96% 97% 97% 98% 98% 98% 98% 99%
-20% 65% 71% 78% 83% 86% 89% 91% 93% 94% 95% 96% 96% 97% 98% 98% 98% 99% 99% 99% 99% 99%
-10% 66% 73% 80% 85% 89% 91% 93% 94% 96% 96% 97% 98% 98% 99% 99% 99% 99% 99% 99% 100% 100%
0% 68% 75% 83% 88% 91% 93% 95% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
10% 70% 77% 85% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
20% 72% 79% 87% 92% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 74% 82% 90% 94% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 76% 84% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 79% 87% 95% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 82% 91% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 86% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 91% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
51
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 61% 66% 70% 73% 75% 77% 79% 80% 82% 83% 84% 85% 86% 87% 88% 89% 89% 90% 91% 91%
-80% 65% 71% 76% 79% 82% 84% 86% 87% 89% 90% 91% 92% 93% 94% 94% 95% 95% 96% 96% 97%
-70% 68% 75% 80% 83% 86% 88% 90% 92% 93% 94% 95% 95% 96% 97% 97% 97% 98% 98% 98% 99%
-60% 70% 78% 83% 87% 89% 91% 93% 94% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 99% 99%
-50% 73% 81% 86% 90% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100% 100% 100%
-40% 75% 84% 89% 92% 94% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
-30% 77% 86% 91% 94% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-20% 79% 88% 93% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 81% 90% 94% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 83% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 85% 94% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 87% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 89% 96% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 91% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 93% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 9% 12% 17% 21% 24% 27% 30% 32% 34% 36% 38% 40% 41% 43% 44% 45% 47% 48% 49% 50% 51%
-80% 12% 18% 25% 30% 35% 38% 42% 45% 47% 50% 52% 54% 56% 58% 60% 62% 63% 65% 66% 67% 68%
-70% 16% 22% 31% 37% 43% 47% 51% 54% 57% 60% 63% 65% 67% 69% 71% 73% 74% 76% 77% 78% 79%
-60% 19% 26% 36% 44% 50% 55% 59% 62% 66% 69% 71% 73% 75% 77% 79% 81% 82% 83% 84% 86% 87%
-50% 21% 30% 41% 50% 56% 61% 66% 69% 73% 75% 78% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92%
-40% 24% 34% 46% 55% 62% 67% 72% 75% 78% 81% 83% 85% 87% 89% 90% 91% 92% 93% 94% 94% 95%
-30% 27% 37% 51% 60% 67% 73% 77% 81% 83% 86% 88% 90% 91% 92% 93% 94% 95% 96% 96% 97% 97%
-20% 30% 41% 56% 65% 72% 78% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99%
-10% 33% 45% 61% 70% 77% 82% 86% 89% 91% 93% 94% 95% 96% 97% 98% 98% 98% 99% 99% 99% 99%
0% 36% 49% 65% 75% 82% 86% 90% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100%
10% 39% 54% 70% 80% 86% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
20% 43% 58% 75% 84% 90% 93% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 47% 63% 80% 88% 93% 96% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 52% 69% 85% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 58% 75% 89% 95% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 64% 81% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 73% 88% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 83% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
52
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 23% 32% 40% 45% 50% 54% 57% 61% 63% 66% 68% 71% 72% 74% 76% 77% 79% 80% 81% 82%
-80% 30% 43% 51% 58% 63% 68% 72% 75% 78% 80% 82% 84% 86% 87% 88% 90% 91% 92% 92% 93%
-70% 36% 50% 60% 67% 72% 76% 80% 83% 86% 88% 89% 91% 92% 93% 94% 95% 96% 96% 97% 97%
-60% 41% 56% 66% 73% 79% 83% 86% 89% 91% 92% 94% 95% 96% 96% 97% 98% 98% 98% 99% 99%
-50% 45% 62% 72% 79% 84% 88% 90% 93% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100%
-40% 50% 67% 77% 84% 88% 91% 94% 95% 97% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
-30% 54% 72% 82% 88% 92% 94% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
-20% 58% 76% 85% 91% 94% 96% 98% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 62% 80% 89% 93% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 66% 84% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 70% 87% 94% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 74% 90% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 78% 93% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 82% 95% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 86% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 89% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 92% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 95% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
53
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 12% 16% 23% 28% 32% 36% 39% 42% 44% 47% 49% 51% 53% 55% 56% 58% 60% 61% 62% 64% 65%
-80% 17% 24% 33% 40% 45% 50% 54% 57% 60% 63% 66% 68% 70% 72% 74% 75% 77% 78% 80% 81% 82%
-70% 21% 29% 41% 49% 55% 60% 64% 68% 71% 74% 77% 79% 81% 83% 84% 85% 87% 88% 89% 90% 91%
-60% 25% 35% 47% 56% 63% 68% 73% 76% 79% 82% 84% 86% 88% 89% 91% 92% 93% 93% 94% 95% 95%
-50% 28% 39% 53% 63% 70% 75% 79% 83% 86% 88% 90% 91% 93% 94% 95% 95% 96% 97% 97% 98% 98%
-40% 32% 44% 59% 69% 76% 81% 85% 88% 90% 92% 94% 95% 96% 96% 97% 98% 98% 98% 99% 99% 99%
-30% 36% 49% 65% 74% 81% 86% 89% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100%
-20% 39% 53% 70% 79% 85% 90% 93% 95% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100%
-10% 43% 58% 75% 84% 89% 93% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
0% 47% 63% 79% 88% 93% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 51% 68% 84% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 56% 72% 88% 94% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 61% 77% 91% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 66% 83% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 72% 88% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 79% 92% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 86% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 32% 43% 52% 58% 64% 68% 72% 75% 78% 80% 82% 84% 86% 87% 88% 90% 91% 92% 92% 93%
-80% 42% 56% 66% 73% 78% 82% 85% 88% 90% 92% 93% 94% 95% 96% 97% 97% 98% 98% 98% 99%
-70% 49% 65% 75% 81% 86% 89% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100%
-60% 55% 72% 81% 87% 91% 94% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100%
-50% 61% 78% 86% 91% 95% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-40% 66% 83% 90% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-30% 71% 87% 94% 97% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-20% 76% 90% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 80% 93% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 84% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 88% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 91% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
54
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 56% 58% 62% 64% 66% 68% 69% 71% 72% 73% 74% 75% 76% 77% 78% 79% 80% 80% 81% 82% 82%
-80% 58% 62% 66% 70% 73% 75% 77% 79% 80% 82% 83% 84% 85% 86% 87% 88% 88% 89% 90% 90% 91%
-70% 60% 65% 70% 74% 77% 80% 82% 84% 86% 87% 88% 89% 90% 91% 92% 93% 93% 94% 94% 95% 95%
-60% 62% 67% 74% 78% 81% 84% 86% 88% 90% 91% 92% 93% 94% 95% 95% 96% 96% 97% 97% 97% 98%
-50% 64% 70% 77% 81% 85% 88% 90% 91% 93% 94% 95% 96% 96% 97% 97% 98% 98% 98% 99% 99% 99%
-40% 66% 72% 79% 84% 88% 90% 92% 94% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 99% 99% 100%
-30% 68% 74% 82% 87% 90% 93% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
-20% 69% 76% 85% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 71% 79% 87% 92% 95% 96% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 73% 81% 89% 94% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 75% 84% 92% 95% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 78% 86% 94% 97% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 80% 88% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 83% 91% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 86% 93% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 89% 96% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 93% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 96% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 65% 71% 75% 79% 81% 84% 86% 87% 89% 90% 91% 92% 93% 93% 94% 95% 95% 96% 96% 96%
-80% 70% 77% 82% 86% 88% 91% 92% 94% 95% 96% 96% 97% 97% 98% 98% 98% 99% 99% 99% 99%
-70% 73% 81% 86% 90% 92% 94% 96% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100%
-60% 76% 85% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
-50% 79% 88% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-40% 81% 90% 94% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-30% 83% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-20% 85% 94% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 87% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 89% 96% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 91% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 93% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 94% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 95% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
55
\ Observ. 25 50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 1000
Correl.
-90% 12% 16% 23% 28% 32% 36% 39% 42% 44% 47% 49% 51% 53% 55% 56% 58% 59% 61% 62% 64% 65%
-80% 17% 23% 33% 40% 45% 50% 54% 57% 60% 63% 66% 68% 70% 72% 74% 75% 77% 78% 80% 81% 82%
-70% 21% 29% 40% 48% 55% 60% 64% 68% 71% 74% 77% 79% 81% 82% 84% 85% 87% 88% 89% 90% 91%
-60% 25% 34% 47% 56% 63% 68% 73% 76% 79% 82% 84% 86% 88% 89% 91% 92% 93% 93% 94% 95% 95%
-50% 28% 39% 53% 63% 70% 75% 79% 83% 85% 88% 90% 91% 93% 94% 95% 95% 96% 97% 97% 98% 98%
-40% 32% 44% 59% 69% 76% 81% 85% 88% 90% 92% 93% 95% 96% 96% 97% 98% 98% 98% 99% 99% 99%
-30% 35% 48% 64% 74% 81% 86% 89% 92% 94% 95% 96% 97% 98% 98% 99% 99% 99% 99% 99% 100% 100%
-20% 39% 53% 69% 79% 85% 90% 92% 95% 96% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100%
-10% 43% 58% 74% 84% 89% 93% 95% 97% 98% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100%
0% 47% 62% 79% 88% 92% 95% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 51% 67% 83% 91% 95% 97% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 55% 72% 87% 94% 97% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 60% 77% 91% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 65% 82% 94% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 71% 87% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 78% 92% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 85% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 93% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
\ Observ. 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120
Correl.
-90% 30% 42% 51% 57% 63% 67% 71% 74% 77% 80% 82% 84% 85% 87% 88% 89% 90% 91% 92% 93%
-80% 39% 54% 64% 71% 77% 81% 84% 87% 89% 91% 93% 94% 95% 96% 96% 97% 97% 98% 98% 98%
-70% 46% 63% 73% 80% 85% 88% 91% 93% 95% 96% 97% 97% 98% 98% 99% 99% 99% 99% 100% 100%
-60% 52% 69% 79% 86% 90% 93% 95% 96% 97% 98% 99% 99% 99% 99% 100% 100% 100% 100% 100% 100%
-50% 57% 75% 85% 90% 94% 96% 97% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-40% 62% 80% 89% 93% 96% 98% 99% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-30% 66% 84% 92% 96% 98% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-20% 71% 88% 94% 97% 99% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
-10% 75% 90% 96% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
0% 78% 93% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
10% 82% 95% 98% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
20% 85% 97% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
30% 88% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
40% 91% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
50% 93% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
60% 95% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
70% 97% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
80% 98% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
90% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
56

Testing Sharpe Ratio: Luck or Skill?: Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris

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Testing Sharpe ratio: luck or skill?

JEL classification: C12, G11.

1.1. Related Works

Pre-computing R̄ ˆ avoids a double summation in the definition of the volatility estimator.

As the non centered Student statistics writes as

2.2. Capital dimensionless Sharpe ratios

Rt (q) ≡ Rt + Rt−1 + . . . + Rt−q+1 (7)

The latter rule hence states that

3.2. AR(1) assumptions

It is easy to check that equation 10 is equivalent to

Rt = µ + ρ(Rt−1 − µ) + σvt t ≥ 2; (12)

Proposition 1. The ratio between the q period returns SR(q) defined by

and the annual (regular) SR is the following:

If the return process is stationary with a constant variance σ 2 = V ar[Rt ] = σ∞

If in addition, the returns follow an AR(1) process ρk = ρk , equation 17 becomes

If the returns are non correlated (ρk = 0), equation 19 becomes

Proof. Given in 8.1

Proposition 2. If first order correlation ρ is positive, the real Sharpe is underestimated by

4. Distributions for Sharpe ratio

Proof. See appendix section 8.2

Proposition 4. Fisher and Beta Distributions - A straight consequence of proposition

• the Studentized F-statistic

follows a FisherSnedecor distribution with parameters d1 = 1 and d2 = n − 1. This

Proposition 5. Wald Statistic - The asymptotic distribution of the Fisher distribution

Proof. See appendix section 8.4

Proposition 7. Modified Asymptotic Distribution - A better approximation for the

Proof. See appendix section 8.5

H0 : E[SR] = 0 versus H1 : E[SR] > 0,

H0 : E[SR] = 0 versus H1 : E[SR] 6= 0,

H0 : E[SR] > µ0 with µ0 > 0

for two-tailed test as:

and for two-tailed test by:

Proof. Immediate using previous results.

where F cdf is the Fisher cumulated density function with 1, N − 1 parameters.

Proof. Immediate using previous results.

Proof. See appendix section 8.6

6.1. Color codes

2.00 ≥ SR > 1.50 80% ≤ P(.) < 90%

0.50 ≥ SR 97.5% ≤ P(.) < 99%

6.2. Sharpe for 90% skill target

6.2.2. Student assumptions

with a one-tailed test method.

6.3. 95% skill target

with a two-tailed test method.

6.3.2. Student assumptions

with a one-tailed test method.

6.4. Sharpe ratio significance level

while the one-tailed test uses √

6.5. Percentage of skill for a given level of Sharpe ratio

and under the Student assumptions with one-tailed test:

and under the Student assumptions with two-tailed test:

6.5.1. Sharpe ratio of 0.5

6.5.2. Sharpe ratio of 1

6.5.3. Sharpe ratio of 1.5

6.5.4. Sharpe ratio of 2

Bertrand, P. (2008). Risk-adjusted performance attribution and portfolio optimizations

Burke, G. (1994). A sharper sharpe ratio. The Computerized Trader.

McCafferty, T. (2003). The Market is Always Right. McGraw Hill.

Pav, S. E. (2015b). Package ‘SharpeR’. /cran.r-project.org.

Pav, S. E. (2016). Notes on the sharpe ratio. /cran.r-project.org.

Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, pages 119–138.

Sharpe, W. F. (1998). Morningstar’s risk-adjusted ratings. Financial Analysts Journal,